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

Sivagowry Sriananthakumar; Seema Narayan

doi:10.1016/j.iref.2015.08.001

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

Sivagowry Sriananthakumar, Seema Narayan

Research output: Contribution to journal › Article › Research › peer-review

14 Citations (Scopus)

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.

Original language	English
Pages (from-to)	504-520
Number of pages	17
Journal	International Review of Economics and Finance
Volume	39
DOIs	https://doi.org/10.1016/j.iref.2015.08.001
Publication status	Published - Sept 2015
Externally published	Yes

Keywords

Causes of stock markets integration
Civil war
Market integration
Time changing conditional correlation

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.iref.2015.08.001

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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.",

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N2 - 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.

AB - 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.

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KW - Market integration

KW - Time changing conditional correlation

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VL - 39

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EP - 520

JO - International Review of Economics and Finance

JF - International Review of Economics and Finance

ER -

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

Abstract

Keywords

UN SDGs

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