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  • Interdependence and Dynamic Linkages Between the Emerging Stock Markets of South Asia

    Author(s)
    Narayan, Paresh
    Smyth, Russell
    Nandha, Mohan
    Griffith University Author(s)
    Narayan, Paresh
    Year published
    2004
    Metadata
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    Abstract
    The present article examines the dynamic linkages between the stock markets of Bangladesh, India, Pakistan and Sri Lanka using a temporal Granger causality approach by binding the relationship among the stock price indices within a multivariate cointegration framework. We also examine the impulse response functions. Our main finding is that in the long run, stock prices in Bangladesh, India and Sri Lanka Granger-cause stock prices in Pakistan. In the short run there is unidirectional Granger causality running from stock prices in Pakistan to India, stock prices in Sri Lanka to India and from stock prices in Pakistan to Sri ...
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    The present article examines the dynamic linkages between the stock markets of Bangladesh, India, Pakistan and Sri Lanka using a temporal Granger causality approach by binding the relationship among the stock price indices within a multivariate cointegration framework. We also examine the impulse response functions. Our main finding is that in the long run, stock prices in Bangladesh, India and Sri Lanka Granger-cause stock prices in Pakistan. In the short run there is unidirectional Granger causality running from stock prices in Pakistan to India, stock prices in Sri Lanka to India and from stock prices in Pakistan to Sri Lanka. Bangladesh is the most exogenous of the four markets, reflecting its small size and modest market capitalization.
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    Journal Title
    Accounting and Finance
    Volume
    44
    DOI
    https://doi.org/10.1111/j.1467-629x.2004.00113.x
    Subject
    Applied Economics
    Accounting, Auditing and Accountability
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/5344
    Collection
    • Journal articles

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