Non-linear unit root properties of stock prices : evidence from India, Pakistan and Sri Lanka.

Citation

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

Abstract

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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Additional Metadata

Item Type:	Article
Divisions:	Faculty of Economics and Management
Publisher:	Economics Bulletin
Keywords:	Nonlinear unit root; Stock prices; South Asia.
Depositing User:	Emelda Mohd Hamid
Date Deposited:	25 Oct 2013 07:47
Last Modified:	19 Jan 2016 02:15
URI:	http://psasir.upm.edu.my/id/eprint/15826
Statistic Details:	View Download Statistic

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