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2014 (Vol. 7, Issue: 13)
Article Information:

Interdependence of South Asian Equity Markets

Ghulam Ali, Haroon Hussain and Talat Islam
Corresponding Author:  Ghulam Ali 

Key words:  Bombay stock exchange, Colombo stock exchange, Dhaka stock exchange, Karachi stock exchange, South Asian equity markets, ,
Vol. 7 , (13): 2762-2771
Submitted Accepted Published
September 24, 2013 October 23, 2013 April 05, 2014
Abstract:

This Study aimed at exploring the relationship between South Asian Equity Markets. Four major South Asian Equity Markets (Karachi Stock Exchange, Bombay Stock Exchange, Colombo Stock Exchange and Dhaka Stock Exchange) were taken to explore this relationship. Data was taken from the year 1999 to 2009 on monthly basis. Data Analysis was conducted using co-integration Analysis for the long run relationship and VECM (Vector Error Correction Model) for the short run relationship. For the purpose of stationary of data, Unit root test was used and all series were found integrated of at first difference. Co-integration Analysis indicated that there exists no long run relationship among the equity markets of South Asia. VECM shows the similar results and no relationship were found among these markets in short run. Granger Causality, Variance Decomposition and Impulse Response Function were used and unidirectional granger causality is found from CSE to DSE, KSE to BSE and BSE to CSE. It was found that most of the changes in Colombo Stock Exchange and Dhaka Stock Market were explained due to changes or innovations in their own market. Variance Decomposition Analysis shows that Variance is Karachi Stock Market is explained by changes in its market and changes in Bombay Stock Market. Similarly Variance is Bombay Stock Market is explained by its own markets innovations or changes in Karachi Stock Market. Impulse Response Function reveals most of the market shocks in KSE are explained by its own innovations and other markets do not have much influence on Karachi Stock Market. However, result of impulse response function shows that BSE is exerting some pressure on Karachi Stock Exchange in the end periods.
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  Cite this Reference:
Ghulam Ali, Haroon Hussain and Talat Islam, 2014. Interdependence of South Asian Equity Markets.  Research Journal of Applied Sciences, Engineering and Technology, 7(13): 2762-2771.
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ISSN (Online):  2040-7467
ISSN (Print):   2040-7459
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