Interdependence and Dynamic Linkages between the Emerging Stock Markets of South Asia

Accounting and Finance, Vol. 44, No. 3, pp. 419-439, 2004

Posted: 7 Jun 2012

See all articles by Paresh Kumar Narayan

Paresh Kumar Narayan

Deakin University - School of Accounting, Economics and Finance

Russell Smyth

Monash University - Department of Economics

Mohan Nandha

Monash University - Department of Accounting

Date Written: 2004

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 Lanka. Bangladesh is the most exogenous of the four markets, reflecting its small size and modest market capitalization.

Suggested Citation

Narayan, Paresh Kumar and Smyth, Russell and Nandha, Mohan, Interdependence and Dynamic Linkages between the Emerging Stock Markets of South Asia (2004). Accounting and Finance, Vol. 44, No. 3, pp. 419-439, 2004, Available at SSRN: https://ssrn.com/abstract=2079376

Paresh Kumar Narayan (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Russell Smyth

Monash University - Department of Economics ( email )

Wellington Road
Clayton, Victoria 3
Australia

Mohan Nandha

Monash University - Department of Accounting ( email )

Peninsula Campus, Building D
Frankston, Victoria 3199
Australia
613 9904 4610 (Phone)
613 9904 4145 (Fax)

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