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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| Format: | Article |
| Language: | English English |
| Published: |
Economics Bulletin
2010
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| Online Access: | http://psasir.upm.edu.my/id/eprint/15826/ 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 |
| _version_ | 1848842787996303360 |
|---|---|
| author | Tan, Siow Hooi Habibullah, Muzafar Shah Khong, R. W. L. |
| author_facet | Tan, Siow Hooi Habibullah, Muzafar Shah Khong, R. W. L. |
| author_sort | Tan, Siow Hooi |
| building | UPM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T08:04:41Z |
| format | Article |
| id | upm-15826 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-15T08:04:41Z |
| publishDate | 2010 |
| publisher | Economics Bulletin |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-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 |
| 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. |
| title | 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_short | 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. |
| url | http://psasir.upm.edu.my/id/eprint/15826/ 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 |