The efficiency of emerging stock markets: empirical evidence from the south asian region
Arusha Cooray and
Guneratne. Wickremasinghe ()
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Guneratne. Wickremasinghe: University of Tasmania, Australia
Journal of Developing Areas, 2007, vol. 41, issue 1, 171-183
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.
Keywords: South Asia; India; Sri Lanka; Pakistan; Bangladesh; unit root tests; stock markets; market efficiency; impulse response analysis (search for similar items in EconPapers)
JEL-codes: F15 F21 G14 G15 (search for similar items in EconPapers)
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Working Paper: The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:jda:journl:vol.41:year:2007:issue1:pp:171-183
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