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Interaction between the Sri Lankan Stock Market and Surrounding Asian Stock Markets
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| dc.contributor.author | Kuruppuarachchi, Duminda | |
| dc.date.accessioned | 2017-03-22T10:27:44Z | |
| dc.date.available | 2017-03-22T10:27:44Z | |
| dc.date.issued | 2016-08-19 | |
| dc.identifier.citation | Kuruppuarachchi, D. (2016). Interaction between the Sri Lankan Stock Market and Surrounding Asian Stock Markets. Proceedings of 11th Faculty of Management Studies and Commerce (FMSC) Research Symposium, University of Sri Jayewardenepura, Nugegoda, 31-39. | en_US, si_LK |
| dc.identifier.issn | 2012-7146 | |
| dc.identifier.uri | http://dr.lib.sjp.ac.lk/handle/123456789/4501 | |
| dc.description.abstract | The study examined the interaction between Sri Lankan stock market and surrounding Asian stock markets in terms of cointegration, correlations, information spillovers, and impulse responses, considering India, China, Pakistan, Singapore, Malaysia, Hong Kong, Korea, and Japan as neighboring stock markets to the Sri Lankan market. Daily data of stock indices of each country spanning from 01st January 2000 to 31st December 2012 was used. Findings revealed that the Sri Lankan stock market is cointegrated with the Korean stock market but not with others. Correlations were significant between Sri Lanka and India, Singapore, Malaysia, Hong Kong, Korea and Japan. Moreover, Pakistan, Malaysian, and Korean stock markets had Granger caused-in-mean to the Sri Lankan stock market while India and Korea had Granger caused-in-variance. Extreme downside risks in Chinese stock market also had Granger caused the Sri Lankan stock market. Impulse responses revealed the impact of shocks in Asian stock markets on the Sri Lankan stock market. | en_US, si_LK |
| dc.language.iso | en | en_US, si_LK |
| dc.publisher | University of Sri Jayewardenepura, Nugegoda | en_US, si_LK |
| dc.subject | Asian Stock Markets | en_US, si_LK |
| dc.subject | Granger Causality | en_US, si_LK |
| dc.subject | Impulse Response | en_US, si_LK |
| dc.subject | Information Spillover | en_US, si_LK |
| dc.subject | Sri Lankan Stock Market | en_US, si_LK |
| dc.subject | Stock Market Interactions | en_US, si_LK |
| dc.title | Interaction between the Sri Lankan Stock Market and Surrounding Asian Stock Markets | en_US, si_LK |
| dc.type | Article | en_US, si_LK |
