Interdependence and Dynamic Linkages between Stock Markets of Sri Lanka and Its Trading Partners
Journal of Multinational Financial Management 8 (1998), 89-101
13 Pages Posted: 17 Jun 2014
Date Written: December 30, 1996
This paper investigates the interdependence and dynamic linkages between the emerging capital market of Sri Lanka and the markets of its major trading partners (Taiwan, Singapore, Japan, South Korea, Hong Kong, India, and the US) using the vector autoregression (VAR) technique. No significant interdependence is discovered between the Sri Lankan market and the equity markets of the US and the Asian markets considered. Small capitalization, lack of liquidity, high concentration in blue chips, and unilateral investment barriers on Sri Lankan investors are possible reasons for lack of interdependence.
Note: 1998 Elsevier Science B.V. All rights reserved.
Keywords: VAR, Sri Lanka, Emerging country
JEL Classification: G15, 053
Suggested Citation: Suggested Citation