Jornal de Negócios e Assuntos Financeiros

Dynamic Linkages among Selected South Asian Countries’Stock Markets

Abstract

Maher MR, Asif M and Batool SN

This study is about The Dynamic Linkages among Selected South Asian Countries Stock Markets for the period of five years from 2010-2014. This study aims to analyze the linkages among Pakistan, India, Bangladesh and Sri Lanka Stock Market by using Augmented Duky Fuller unit root test, Co-integration, and Vector Errors Correction Model. For such purpose daily prices of indices were collected from selected South Asian countries’ stock exchanges websites. The result of these tested model indicate that the model is valid and applicable in selected Stock Markets. The findings of this study show that all the variables are stationary at first difference. The result of Co-integration shows that Karachi Stock Exchange is Co-integrated. Error correction mechanism has been applied in this study to capture the short run dynamics among concerned variables within the context of long run relationship. Coefficients of Co-integrating equations show the speed of adjustment in case of short run disequilibrium.