Are Karachi Stock Exchange and Bombay Stock Exchange Co-Integrated?

Research Journal of Finance and Accounting, Vol.7, No.3, 2016

5 Pages Posted: 31 May 2016

See all articles by Nawaz Ahmad

Nawaz Ahmad

RTS (Research, Trainings, and Solutions); Institute of Business Management (IoBM)

Aamir Shamsi

Institute of Business Management; IoBM (CBM)

Date Written: February 28, 2016

Abstract

The research paper was aimed to find the integration between Karachi Stock Exchange and Bombay Stock Exchange. A daily data of stock prices from Nov 2009 to Dec 2012 has been obtained and their geometric returns are calculated as mentioned in Ahmad and Husain (2007). Stock returns were found integrated of order zero. Johanson Cointegration test is applied over historical returns of both the stock market returns in order to capture existence of cointegration. Result shows that, Trace-statistics and Eigen-values, fall within the critical region, i.e. their p-value is less than 0.05, and hence it is concluded on the bases of stochastic process and econometric evidence that Karachi Stock Exchange and Bombay Stock Exchange are not cointegrated.

Keywords: KSE, BSE, Cointegration

JEL Classification: B23, C12, N20

Suggested Citation

Ahmad, Nawaz and Shamsi, Aamir, Are Karachi Stock Exchange and Bombay Stock Exchange Co-Integrated? (February 28, 2016). Research Journal of Finance and Accounting, Vol.7, No.3, 2016 . Available at SSRN: https://ssrn.com/abstract=2786084

Nawaz Ahmad (Contact Author)

RTS (Research, Trainings, and Solutions) ( email )

9th Nishat Lane, DHA 6
9th Nishat Lane, DHA 6
Karachi, Sindh 75500
Pakistan
00923009292422 (Phone)

Institute of Business Management (IoBM) ( email )

Plot # 84
Korangi Creek
Karachi, Sindh 75190
Pakistan

HOME PAGE: http://www.faculty.iobm.edu.pk/staff/nawaz-ahmad/

Aamir Shamsi

Institute of Business Management ( email )

Korangi Creek Karachi, 75190
Karachi, 75190
Pakistan
+92-21-111-002-004 (Phone)
+92-21-35090968 (Fax)

IoBM (CBM) ( email )

Karachi
Pakistan

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