Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.
This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly, a pa...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
| Published: |
Economics Bulletin
2010
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| Online Access: | http://psasir.upm.edu.my/id/eprint/15826/1/Non-linear%20unit%20root%20properties%20of%20stock%20prices%20evidence%20from%20India%2C%20Pakistan%20and%20Sri%20Lanka..pdf http://psasir.upm.edu.my/id/eprint/15826/ |
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| Summary: | This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly, a partial unit root was found to be present in one of the regimes indicating that the stock prices are weak form efficiency, but not all the time. |
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