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

Author

Listed:
  • Siow-hooi Tan

    (Multimedia University)

  • Muzafar-shah Habibullah

    (Universiti Putra Malaysia)

  • Roy-wye-leong Khong

    (University of Nottingham Malaysia Campus)

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.

Suggested Citation

  • Siow-hooi Tan & Muzafar-shah Habibullah & Roy-wye-leong Khong, 2010. "Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka," Economics Bulletin, AccessEcon, vol. 30(1), pages 274-281.
    • Handle: RePEc:ebl:ecbull:eb-09-00712
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    References listed on IDEAS

    as
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    8. Qian, Xi-Yuan & Song, Fu-Tie & Zhou, Wei-Xing, 2008. "Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 503-510.
    9. Qaiser Munir & Kasim Mansur, 2009. "Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1359-1370.
    10. Terrance Grieb & Mario G. Reyes, 1999. "Random Walk Tests For Latin American Equity Indexes And Individual Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 371-383, December.
    11. Paresh Narayan & Arti Prasad, 2007. "Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-6.
    12. Paresh Kumar Narayan & Seema Narayan, 2007. "Mean reversion in stock prices: new evidence from panel unit root tests," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 24(3), pages 233-244, August.
    13. repec:ebl:ecbull:v:3:y:2007:i:34:p:1-6 is not listed on IDEAS
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    Cited by:

    1. Feyyaz Zeren & Filiz Konuk, 2013. "Testing The Random Walk Hypothesis For Emerging Markets: Evidence From Linear And Non-Linear Unit Root Tests," Romanian Economic Business Review, Romanian-American University, vol. 8(4), pages 61-71, december.
    2. Nartea, Gilbert V. & Valera, Harold Glenn A. & Valera, Maria Luisa G., 2021. "Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 214-230.
    3. Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 6(2), pages 47-79, September.
    4. Ekaterina Dorodnykh, 2014. "Determinants of stock exchange integration: evidence in worldwide perspective," Journal of Economic Studies, Emerald Group Publishing, vol. 41(2), pages 292 - 316, March.

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    More about this item

    Keywords

    non-linear; unit root; efficient market hypothesis;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G0 - Financial Economics - - General

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