文章基本信息

标题：Co-integration of Karachi stock exchange with major Asian markets
其他标题：Co-integration of Karachi stock exchange with major Asian markets
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作者：Sarfraz, Asma ; Shehzadi, Sumbal ; Hussain, Haroon 等
期刊名称：Acta Universitatis Danubius. Oeconomica
印刷版ISSN：2065-0175
电子版ISSN：2067-340X
出版年度：2012
卷号：8
期号：5
语种：English
出版社：Danubius University
摘要：As world become global village it opens door for the approaching investors to invest their wealth in different asset classes in different economies. The purpose of this research is to study the long run relationships and co movement among the stock markets of Pakistan and other Asian stock markets i.e. India, Malaysia and Indonesia. Over the period of Jan 1,1998 to Oct 3,2011.This paper examines the co-movement among stock markets of Pakistan, India, Malaysia and Indonesia for the period of Jan, 1, 1998 and Oct, 3, 2011. Descriptive statistics, correlation, co-integration tests are run to check the behavior and co movement of markets. Granger causality test is used to check the lead lag relationship. Impulse response tells about the one standard deviation change in market bring what standard deviation change in other market. Variance decomposition technique is used to decompose the variance in one market due to change in another market and due to its own dynamics i.e. economic and political conditions also affect the market. The results shows that the four markets Pakistan, India, Malaysia and Indonesia are weakly correlated with each other and find no co-integration. Variance decomposition shows that most of the change in above listed countries is due to their own factors. Number of studies has been conducted on developed markets like United States of America, United Kingdom, France, Japan Canada and underdeveloped countries, but this paper focuses on emerging markets of Asia.ie Pakistan, India, Malaysia, and Indonesia to check the long run relationship among these markets.
关键词：Co-integration; augmented dickey fuller test; Phillips perron; granger causality; variance decomposition.