Interdependence and Dynamic Linkages between Stock Markets of Sri Lanka and Its Trading Partners

Journal of Multinational Financial Management 8 (1998), 89-101

Fox School of Business Research Paper

13 Pages Posted: 17 Jun 2014

See all articles by Elyas Elyasiani

Elyas Elyasiani

Temple University - Department of Finance

Priyal Perera

Independent

Tribhuvan Puri

University of Massachusetts Dartmouth - Department of Accounting & Finance

Date Written: December 30, 1996

Abstract

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

Elyasiani, Elyas and Perera, Priyal and Puri, Tribhuvan, Interdependence and Dynamic Linkages between Stock Markets of Sri Lanka and Its Trading Partners (December 30, 1996). Journal of Multinational Financial Management 8 (1998), 89-101, Fox School of Business Research Paper, Available at SSRN: https://ssrn.com/abstract=2451245

Elyas Elyasiani (Contact Author)

Temple University - Department of Finance ( email )

Fox School of Business and Management
Philadelphia, PA 19122
United States
215-204-5881 (Phone)
215-204-5698 (Fax)

Priyal Perera

Independent

Tribhuvan Puri

University of Massachusetts Dartmouth - Department of Accounting & Finance ( email )

285 Old Westport Road
N Dartmouth, MA 02747-2300
United States
508-999-8426 (Phone)

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