Since 2014
The Role of Sri Lankan Stock Market in the Asian Region
Vidyodaya Journal of Management
View Archive Info| Field | Value | |
| Title |
The Role of Sri Lankan Stock Market in the Asian Region
|
|
| Creator |
Kuruppuarachchi, D.
|
|
| Description |
This paper investigates the interaction of the Sri Lankan stock market with other Asian stock markets in terms of cointegration, contemporaneous correlations, information spillovers, and impulse responses. The study consider India, China, Pakistan, Singapore, Malaysia, Hong Kong, Korea, and Japan as neighboring stock markets to the Sri Lankan market. And it use daily data of leading stock indices for each country from 01st January 2000 to 31st December 2012. Findings reveal that the Sri Lankan stock market is cointegrated with the Korean stock market but not with others. Contemporaneous correlations are significant between Sri Lanka and other Asian countries such as India, Singapore, Malaysia, Hong Kong, Korea, and Japan. Pakistan, Malaysian, and Korean stock markets Granger cause in mean to the Sri Lankan stock market while India and Korea Granger cause in variance. Extreme downside risks in Chinese stock market also Granger causes the Sri Lankan stock market. Impulse response analysis provides evidence for the following day’s impact on the Sri Lankan stock market due a current shock on other Asian stock markets. Findings of this paper provide insightful information to both policy makers and investors in order to understand the behavior of Sri Lankan stock market.KeywordsAsian Stock Markets, Granger Causality, Impulse Response, InformationSpillover, Sri Lankan Stock Market, Stock Market Interactions
|
|
| Publisher |
University of Sri Jayewardenepura
|
|
| Contributor |
—
|
|
| Date |
2016-06-30
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
|
| Format |
application/pdf
|
|
| Identifier |
http://journals.sjp.ac.lk/index.php/vjm/article/view/3648
10.31357/vjm.v2i1.3648 |
|
| Source |
Vidyodaya Journal of Management; Vol 2, No 1 (2016)
2448-9344 10.31357/vjm.v2i1 |
|
| Language |
eng
|
|
| Relation |
http://journals.sjp.ac.lk/index.php/vjm/article/view/3648/2869
10.31357/vjm.v2i1.3648.g2869 |
|
| Rights |
Copyright (c) 2019 Vidyodaya Journal of Management
|
|