Interdependence and dynamic linkages between the emerging stock markets of South Asia
Data(s) |
01/01/2004
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Resumo |
The present article examines the dynamic linkages between the stock markets<br />of Bangladesh, India, Pakistan and Sri Lanka using a temporal Granger causality<br />approach by binding the relationship among the stock price indices within a<br />multivariate cointegration framework. We also examine the impulse response<br />functions. Our main finding is that in the long run, stock prices in Bangladesh,<br />India and Sri Lanka Granger-cause stock prices in Pakistan. In the short run<br />there is unidirectional Granger causality running from stock prices in Pakistan<br />to India, stock prices in Sri Lanka to India and from stock prices in Pakistan to<br />Sri Lanka. Bangladesh is the most exogenous of the four markets, reflecting its<br />small size and modest market capitalization.<br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Wiley-Blackwell |
Relação |
http://dro.deakin.edu.au/eserv/DU:30024739/narayan-interdependencedynamic-2004.pdf http://dx.doi.org/10.1111/j.1467-629x.2004.00113.x |
Direitos |
2004, AFAANZ |
Tipo |
Journal Article |