Show simple item record

dc.contributor.authorNarayan, Paresh
dc.contributor.authorSmyth, Russell
dc.contributor.authorNandha, Mohan
dc.contributor.editorRobert Faff
dc.date.accessioned2017-05-03T14:34:40Z
dc.date.available2017-05-03T14:34:40Z
dc.date.issued2004
dc.identifier.issn08105391
dc.identifier.doi10.1111/j.1467-629x.2004.00113.x
dc.identifier.urihttp://hdl.handle.net/10072/5344
dc.description.abstractThe 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherBlackwell Publishing
dc.publisher.placeAustralia
dc.relation.ispartofpagefrom419
dc.relation.ispartofpageto439
dc.relation.ispartofjournalAccounting and Finance
dc.relation.ispartofvolume44
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchAccounting, Auditing and Accountability
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1501
dc.subject.fieldofresearchcode1502
dc.titleInterdependence and Dynamic Linkages Between the Emerging Stock Markets of South Asia
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2015-01-29T01:30:44Z
gro.hasfulltextNo Full Text
gro.griffith.authorNarayan, Paresh


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record