@proceedings {2151,
	title = {Impact of the Global Financial Crisis on the Sri Lankan Stock Market Interaction with Neighbouring Countries},
	journal = {the First International Conference on Corporate Finance, Governance \& Sustainability},
	year = {2016},
	publisher = {Delhi School of Business, India.},
	address = {Delhi School of Business, India.},
	abstract = {Purpose
This paper investigates the impact of the Global Financial Crisis (GFC) in 2008 on the interaction between the Sri Lankan stock market and neighbouring Asian stock markets.
Literature
Existing literature provide evidence for the interaction between Sri Lankan and other stock markets are mixed. This study extends this strand of literature by adopting multiple methods to examine the relationship between the Sri Lankan stock market and other Asian stock markets with special attention on the GFC.
Methodology
These market interactions are examined using cointegration, contemporaneous correlations, information spillovers, and impulse responses. This paper considers India, China, Pakistan, Singapore, Malaysia, Hong Kong, Korea, and Japan as neighbouring stock markets to the Sri Lankan market and uses daily data of leading stock indices for each country from 01st January 2000 to 31st December 2012.
Findings
Findings reveal that the Sri Lankan stock market is cointegrated with the Korean stock market but not with others. Contemporaneous correlations are mostly significant between Sri Lanka and other Asian countries due to the GFC and thereafter. Granger causality to the Sri Lankan market is mainly evident during the GFC. Extreme downside risks in Chinese stock market also Granger cause the Sri Lankan stock market but not during the GFC. Instead, volatility and extreme risks in the Malaysian stock market spillover to the Sri Lankan market during the GFC. Impulse response analysis reveals that a shock on other Asian stock markets impact the Sri Lankan stock market mostly for two days during the GFC but for a single day during non-crisis periods.
Contribution
Findings of this study must be interesting to the investors in stock markets to find a safe heaven for their investment during a crisis period.},
	author = {Kuruppuarachchi, D}
}
