Efficiency of South Asian Capital Markets:An Empirical Analysis

Abstract

In last few years, the Asian financial crises had grabbed the attentions of researchers towards South Asian capital markets.  This paper is an attempt to test the weak form efficiency of select South Asian capital markets; India, Sri Lanka and Pakistan over the sample period spanning from January 2003 to December 2011. The application of dickey-fuller (ADF) and Philip Perran (PP) unit root test provide the evidence that these markets are not weak form efficient which have significant impact on these countries’ economies. On the other hand, such inefficiency disturbs the allocation of national resources for development projects. This type of phenomena encourages male practices speculative moves in market place.

Keywords: South Asia, week for efficiency and unit root tests.