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Siow-hooi Tan, Muzafar-shah Habibullah and Roy-wye-leong Khong
''Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka''
( 2010, Vol. 30 No.1 )
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.
Keywords: non-linear, unit root, efficient market hypothesis
JEL: C4 - Econometric and Statistical Methods: Special Topics
Manuscript Received : Nov 18 2009 Manuscript Accepted : Jan 19 2010

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