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Integration of South Asian stock market – a select study

Financial markets are the real replication of growth of the economy throughout the globe and integration of stock markets facilitate the investors to control their portfolio risk through diversification. But degree and direction of co-integration among the stock markets are required to be ensured. As, risk seeker and risk averse, both type of investors have different opinion towards risk. In this study an effort has been made to explore this issue for better understanding and effective decision making for the investors targeting South Asian stock market specially India, Pakistan and Sri-Lanka. For the analysis, daily data of closing value of Indian stock market (BSE 30), Pakistani stock market (Karachi 30) and Sri-Lankan stock market (all stock indices, CSE), ranging from April 2015 to March 2016 is used. Database of stock market indices is collected from the web portal of respective stock exchanges. For the analysis, unit root test followed by co-integration is used to examine the association among the three stock markets. This paper uses vector auto regressive (VAR) model to characterise the dynamics of stock market indices of selected market.