Interaction between the Sri Lankan Stock Market and Surrounding Asian Stock Markets

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dc.contributor.authorKuruppuarachchi, Duminda
dc.date.accessioned2017-03-22T10:27:44Z
dc.date.available2017-03-22T10:27:44Z
dc.date.issued2016-08-19
dc.description.abstractThe 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.identifier.citationKuruppuarachchi, 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.issn2012-7146
dc.identifier.urihttp://dr.lib.sjp.ac.lk/handle/123456789/4501
dc.language.isoenen_US, si_LK
dc.publisherUniversity of Sri Jayewardenepura, Nugegodaen_US, si_LK
dc.subjectAsian Stock Marketsen_US, si_LK
dc.subjectGranger Causalityen_US, si_LK
dc.subjectImpulse Responseen_US, si_LK
dc.subjectInformation Spilloveren_US, si_LK
dc.subjectSri Lankan Stock Marketen_US, si_LK
dc.subjectStock Market Interactionsen_US, si_LK
dc.titleInteraction between the Sri Lankan Stock Market and Surrounding Asian Stock Marketsen_US, si_LK
dc.typeArticleen_US, si_LK

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