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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: Tan, Siow Hooi, Habibullah, Muzafar Shah, Khong, R. W. L.
Format: Article
Language:English
English
Published: Economics Bulletin 2010
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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spelling my.upm.eprints.158262016-01-19T02:15:36Z http://psasir.upm.edu.my/id/eprint/15826/ Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka. Tan, Siow Hooi Habibullah, Muzafar Shah Khong, R. W. L. 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. Economics Bulletin 2010 Article PeerReviewed application/pdf en 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 Tan, Siow Hooi and Habibullah, Muzafar Shah and Khong, R. W. L. (2010) Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka. Economics Bulletin, 30 (1). pp. 274-281. ISSN 1545-2921 English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
English
description 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.
format Article
author Tan, Siow Hooi
Habibullah, Muzafar Shah
Khong, R. W. L.
spellingShingle Tan, Siow Hooi
Habibullah, Muzafar Shah
Khong, R. W. L.
Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.
author_facet Tan, Siow Hooi
Habibullah, Muzafar Shah
Khong, R. W. L.
author_sort Tan, Siow Hooi
title Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.
title_short Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.
title_full Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.
title_fullStr Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.
title_full_unstemmed Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.
title_sort non-linear unit root properties of stock prices : evidence from india, pakistan and sri lanka.
publisher Economics Bulletin
publishDate 2010
url 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/
_version_ 1643826040917721088
score 13.160551

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