Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Siyan Chen & Norman V. Loayza & Marta Reynal-Querol, 2008.
"The Aftermath of Civil War,"
World Bank Economic Review, World Bank Group, vol. 22(1), pages 63-85, February.
- Chen, Siyan & Loayza, Norman V. & Reynal-Querol, Marta, 2007. "The aftermath of civil war," Policy Research Working Paper Series 4190, The World Bank.
- Siyan Chen & Norman V. Loayza & Marta Reynal-Querol, 2007. "The aftermath of Civil War," Economics Working Papers 1043, Department of Economics and Business, Universitat Pompeu Fabra.
- Yu, Ip-Wing & Fung, Kang-Por & Tam, Chi-Sang, 2010. "Assessing financial market integration in Asia - Equity markets," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2874-2885, December.
- Anders C. Johansson, 2011.
"Financial Markets in East Asia and Europe during the Global Financial Crisis,"
The World Economy, Wiley Blackwell, vol. 34, pages 1088-1105, July.
- Johansson, Anders C., 2010. "Financial Markets in East Asia and Europe during the Global Financial Crisis," Working Paper Series 2010-13, Stockholm School of Economics, China Economic Research Center.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
- Narayan, S. & Sriananthakumar, S. & Islam, S.Z., 2014. "Stock market integration of emerging Asian economies: Patterns and causes," Economic Modelling, Elsevier, vol. 39(C), pages 19-31.
- Lee, Jim, 2006. "The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model," Economics Letters, Elsevier, vol. 91(1), pages 110-116, April.
- Soosung Hwang & Pedro L. Valls Pereira, 2006.
"Small sample properties of GARCH estimates and persistence,"
The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
- Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006.
"Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns,"
Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
- Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank.
- Tom Doan, "undated". "RATS program to estimate various forms of DCC GARCH models," Statistical Software Components RTZ00174, Boston College Department of Economics.
- Albert Wijeweera & Matthew Webb, 2009. "Military Spending And Economic Growth In Sri Lanka: A Time Series Analysis," Defence and Peace Economics, Taylor & Francis Journals, vol. 20(6), pages 499-508.
- Elyasiani, Elyas & Perera, Priyal & Puri, Tribhuvan N., 1998. "Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 89-101, January.
- Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 717-732, October.
- Engle, Robert F & Sheppard, Kevin K, 2001.
"Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,"
University of California at San Diego, Economics Working Paper Series
qt5s2218dp, Department of Economics, UC San Diego.
- Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
- Lobato, Ignacio & Nankervis, John C & Savin, N E, 2001. "Testing for Autocorrelation Using a Modified Box-Pierce Q Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 187-205, February.
- Baumöhl, Eduard & Lyócsa, Štefan, 2014. "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, vol. 38(C), pages 175-183.
- Frijns, Bart & Tourani-Rad, Alireza & Indriawan, Ivan, 2012. "Political crises and the stock market integration of emerging markets," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 644-653.
- Wijeweera Albert & Webb Matthew J., 2010. "A Peace Dividend for Sri Lanka: The Case for a Return to Prosperity Following the End of Hostilities," Global Economy Journal, De Gruyter, vol. 10(2), pages 1-11, May.
- Paresh Narayan & Russell Smyth & Mohan Nandha, 2004. "Interdependence and dynamic linkages between the emerging stock markets of South Asia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(3), pages 419-439, November.
- Yiping Huang & Jian Chang & Prema-Chandra Athukorala & Sisira Jayasuriya, 2013.
"Economic Policy Shifts in Sri Lanka: The Post-Conflict Development Challenge,"
Asian Economic Papers, MIT Press, vol. 12(2), pages 1-28, Summer.
- Prema-chandra Athukorala & Sisira Jayasuriya, 2012. "Economic Policy Shifts in Sri Lanka: The Post-conflict Development Challenge," Departmental Working Papers 2012-15, The Australian National University, Arndt-Corden Department of Economics.
- Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
- Ping Wang & Tomoe Moore, 2008. "Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach," Manchester School, University of Manchester, vol. 76(s1), pages 116-133, September.
- Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
- Tse, Y. K., 2000.
"A test for constant correlations in a multivariate GARCH model,"
Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
- Tom Doan, "undated". "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
- Tom Doan, "undated". "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.
- Hafner, Christian M. & Reznikova, Olga, 2012.
"On the estimation of dynamic conditional correlation models,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3533-3545.
- Hafner, C. & Reznikova, O., 2010. "On the estimation of dynamic conditional correlation models," IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences) 2010006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Reznikova, O., 2012. "On the estimation of dynamic conditional correlation models," ISBA Reprints (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences) 2012021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Ian Coxhead & Sisira Jayasuriya, 2010. "China, India and the Commodity Boom: Economic and Environmental Implications for Low‐income Countries," The World Economy, Wiley Blackwell, vol. 33(4), pages 525-551, April.
- Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 105-113.
- Moore, Tomoe & Wang, Ping, 2014. "Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 1-11.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Narayan, Seema & Doytch, Nadia & Nguyen, Tri Tung & Kluegel, Karl, 2016. "Trade of goods and services and risk sharing ability in international equity markets: Are these substitutes or complements?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 485-503.
- Narayan, S. & Le, T.-H. & Sriananthakumar, S., 2018. "The influence of terrorism risk on stock market integration: Evidence from eight OECD countries," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 247-259.
- Seema Narayan, 2019. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(4), pages 1-26, October.
- Shashitha Gimhani Jayakody, 2017. "The Impact of the Sri Lankan Civil War on the Stock Market Performances," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 394-402.
More about this item
KeywordsCivil war; Market integration; Time changing conditional correlation; Causes of stock markets integration;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:39:y:2015:i:c:p:504-520. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.