Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka

Siow-hooi Tan (), Muzafar Shah Habibullah and Roy W. L. Khong ()
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Siow-hooi Tan: Multimedia University

Economics Bulletin, 2010, vol. 30, issue 1, 274-281

Abstract: This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly, a partial unit root was found to be present in one of the regimes indicating that the stock prices are weak form efficiency, but not all the time.

Keywords: non-linear; unit root; efficient market hypothesis (search for similar items in EconPapers)
JEL-codes: C4 G0 (search for similar items in EconPapers)
Date: 2010-01-19
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Citations: View citations in EconPapers (5)

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