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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


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