An Analysis Of The Short And Long Run Relationships Between South Asian And Developed Equity Markets
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An Analysis of the Short- and Long-Run Relationships between South Asian and Developed Equity Markets
Author | : Asjeet S. Lamba |
Publisher | : |
Total Pages | : 20 |
Release | : 2006 |
Genre | : |
ISBN | : |
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In this paper, I conduct a detailed, large sample analysis of the short- and long-run relationships between the South Asian markets of India, Pakistan and Sri Lanka and the major developed markets during July 1997 - December 2003. Using a multivariate cointegration framework and vector error-correction modeling I find that the Indian market is influenced by the US, UK and Japan and that this influence has persisted following the September 11, 2001 terrorist attacks on the US. For Pakistan and Sri Lanka I find that these markets are relatively isolated from the major developed markets during the entire sample period. I also find that the three South Asian equity markets are becoming more integrated with each other but at a relatively slow pace.
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