Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka

Sriananthakumar, S and Narayan, S 2015, 'Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka', International Review of Economics and Finance, vol. 39, pp. 504-520.


Document type: Journal Article
Collection: Journal Articles

Title Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka
Author(s) Sriananthakumar, S
Narayan, S
Year 2015
Journal name International Review of Economics and Finance
Volume number 39
Start page 504
End page 520
Total pages 17
Publisher Elsevier B.V.
Abstract This paper investigates stock market interdependencies between Sri Lanka and selected economies in the context of its long civil war using the Dynamic Conditional Correlation (DCC) model with monthly indices (1993-2013) and through bilateral analysis. While correlations are weak, in most cases Sri Lanka's conflict and tensions have not been responsible. China is an exception, coinciding with the common observation that its relationship with Sri Lanka has strengthened. Integrations with the US and Pakistan are also marginally accelerated, although both countries are sensitive to types of risks considered. Finally, the low correlations observed imply diversification benefits to Sri Lankan investors.
Subject International Business
Financial Econometrics
Keyword(s) Civil war
Market integration
Time changing conditional correlation
Causes of stock markets integration
DOI - identifier 10.1016/j.iref.2015.08.001
Copyright notice © 2015 Elsevier Inc.
ISSN 1059-0560
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