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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 thedoi:10.1353/jda.2008.0030 fatcat:qf4ibkigwfc5hm2xeeil7uvw6e