and Sri Lanka

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. The authors are grateful to Bruce Hansen for making available his program codes. The authors would like to thank the anonymous referee and David Harvey (the Associate Editor of this Journal) for detailed and valuable comments that led to a substantial improvement of the original paper. The authors are also indebted to Stanley Richardson, Peik Foong Yeap and Hway Boon Ong for helpful guidance. The usual disclaimer applies