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

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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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Bibliographic Details
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/ 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

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