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