The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region

Arusha Cooray and Guneratne Wickremasinghe

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines weak form efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh; and the linkages between these four markets. The Augmented Dicky Fuller (ADF-1979), the Phillip-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS 1996) and Elliot-Rothenber-Stock (ERS – 1996) tests are used to examine 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. The cointegration and Granger causality tests indicate a high degree of interdependence between the South Asian stock markets.

Keywords: South Asia; India; Sri Lanka; Pakistan; Bangladesh; unit root tests; stock markets; market efficiency (search for similar items in EconPapers)
JEL-codes: C22 E44 O53 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

Published in Journal of Developing Areas 41.1(2007): pp. 171-184

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Related works:
Journal Article: The efficiency of emerging stock markets: empirical evidence from the south asian region (2007)
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