 The efficiency of emerging stock markets: empirical evidence from the south asian regionArusha Cooray and Guneratne Wickremasinghe Journal of Developing Areas, 2007, vol. 41, issue 1, 171-183 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. Keywords: South Asia; India; Sri Lanka; Pakistan; Bangladesh; unit root tests; stock markets; market efficiency; impulse response analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:jda:journl:vol.41:year:2007:issue1:pp:171-183 Access Statistics for this article More articles in Journal of Developing Areas from Tennessee State University, College of Business Contact information at EDIRC. |
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