INTERNATIONAL PORTFOLIO DIVERSIFICATION IN DEVELOPING EQUITY MARKETS OF SOUTH ASIA

Haroon Hussain, Rana Yasir Hussain, Syed Waqar Azeem Shah and Ahmad Fraz ()
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Haroon Hussain: Department of Commerce, University of Sargodha
Rana Yasir Hussain: University of Education, Lahore

Studies in Business and Economics, 2012, vol. 7, issue 1, 80-100

Abstract: This study aims at exploring the relationship between South Asian Equity Markets. Four major South Asian Equity Markets (Karachi Stock Exchange, Bombay Stock Exchange, Colombo Stock Exchange and Dhaka Stock Exchange) were taken to explore this relationship. Data was taken from the year 1999 to 2009 on monthly basis. Data Analysis was conducted using co-integration Analysis for the long run relationship and VECM (Vector Error Correction Model) for the short run relationship. For the purpose of stationary of data, Unit root test was used and all series were found integrated at first difference. Co-integration Analysis indicated that there exists no long run relationship among the equity markets of South Asia. VECM shows the similar results and no relationship found among these markets in short run.

Keywords: international portofolio; equity markets; South Asia (search for similar items in EconPapers)
Date: 2012
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