Purpose – This paper aims to study the weak form of efficiency of Indian capital market during the period of global financial crisis in the form of random walk. Design/methodology/approach – The study considered daily closing prices of S&P CNX Nifty, BSE, CNX100, S&P CNX 500 from April 1,...

We analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the...

This paper examines weak form efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh; and the linkages between these four markets. The Augmented Dicky Fuller (ADF-1979), the Phillip-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS 1996) and...

Purpose – The purpose of this paper is to study the direction of the causality between tourism development and economic growth in Lebanon between 1995 and 2013, after taking into consideration terrorist incidents and their intensities. These are considered as exogenous shocks that affect...