The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region

Arusha. Cooray, Guneratne. Wickremasinghe
2008 Journal of Developing Areas  
This paper examines weak form efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh; and the linkages between these four markets. The Augmented Dicky Fuller (ADF-1979), the Phillip-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS 1996) and Elliot-Rothenber-Stock (ERS -1996) tests are used to examine stock market efficiency. Weak form efficiency is supported by the classical unit root tests, however, it is not strongly supported for Bangladesh under the
more » ... ngladesh under the DF-GLS and ERS tests. The cointegration and Granger causality tests indicate a high degree of interdependence between the South Asian stock markets.
doi:10.1353/jda.2008.0030 fatcat:qf4ibkigwfc5hm2xeeil7uvw6e