Interdependence and dynamic linkages between the emerging stock markets of South Asia

Narayan, Paresh, Smyth, Russell and Nandha, Mohan 2004, Interdependence and dynamic linkages between the emerging stock markets of South Asia, Accounting and finance, vol. 44, no. 3, pp. 419-439.

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Title Interdependence and dynamic linkages between the emerging stock markets of South Asia
Author(s) Narayan, Paresh
Smyth, Russell
Nandha, Mohan
Journal name Accounting and finance
Volume number 44
Issue number 3
Start page 419
End page 439
Total pages 20
Publisher Wiley-Blackwell
Place of publication Richmond, Vic.
Publication date 2004
ISSN 0810-5391
1467-629X
Summary 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.
Language eng
Field of Research 150203 Financial Institutions (incl Banking)
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2004, AFAANZ
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024739

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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