Interdependence and dynamic linkages between the emerging stock markets of South Asia
Source: Accounting and Finance, Volume 44, Number 3, November 2004 , pp. 419-439(21)
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.
JEL classification: G15
Document Type: Research Article
Affiliations: 1: Department of Accounting, Finance and Economics, Griffith University, Southport 2: Department of Economics, Monash University, Caulfield East 3: Department of Accounting and Finance, Monash University, Clayton, Australia
Publication date: November 2004