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The efficiency of emerging stock markets: empirical evidence from the South Asian region

Cooray, Arusha and Wickremasinghe, Guneratne B (2007) The efficiency of emerging stock markets: empirical evidence from the South Asian region. Journal of Developing Areas, 41 (1). pp. 171-183. ISSN 0022-037X

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Abstract

This paper examines the efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh. The Augmented Dickey Fuller (ADF-1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS – 1996) tests are used to examine weak form stock market efficiency. Weak form efficiency is supported by the classical unit root tests. However, it is not strongly supported for Bangladesh under the DF-GLS and ERS tests. Cointegration and Granger causality tests are used to examine semi-strong form efficiency. Semi-strong form efficiency is not supported as these tests indicate a high degree of interdependence among the South Asian stock markets. The above results have implications for domestic as well as foreign investors in South Asian stock markets.

Item Type: Article
Uncontrolled Keywords: ResPubID13900, South Asia, India, Sri Lanka, Pakistan, Bangladesh, unit root tests, stock markets, market efficiency, impulse response analysis
Subjects: Faculty/School/Research Centre/Department > School of Accounting
SEO Classification > 9104 Management and Productivity
FOR Classification > 1502 Banking, Finance and Investment
Related URLs:
Depositing User: VUIR
Date Deposited: 04 May 2012 03:33
Last Modified: 04 May 2012 03:33
URI: http://vuir.vu.edu.au/id/eprint/3224
DOI: 10.1353/jda.2008.0030
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