The noticeable dichotomy between the research and practice of exchange rate exposure management may be partly due to the fact that the degree, the direction and the significance of the exposure to currency risk vastly depend on the method of estimation and the proxies used. In this paper, we...

This study examines the existence, magnitude and direction of volatility spillovers between the Sri Lankan stock market and two other major stock markets in the South Asian region: India and Pakistan. Main stock indices of Sri Lanka, India, and Pakistan are employed as proxies to represent stock...

The Heteroskedastic Mixture Model (HMM) of Lamoureux, and Lastrapes (1990) is extended, relaxing the restriction imposed on the mean i.e. μt-1=0 . Instead, an exogenous variable rm, along with its vector βm, that predicts return rt is introduced to examine the hypothesis that the volume is a...

Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the...

This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...

This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...

Many studies have looked in to the determinants of interest rate in developed countries. The objective of this paper is to examine the determinants of interest rates in Sri Lanka. The model employed in the this study is based on the framework developed in Edwards and Khan (1985) and a few...

This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are...

The objective of this paper is to evaluate whether the Fisher Hypothesis holds in the context of Sri Lankan financial markets. Using the Rupee denominated three-month Treasury bill rates from 1978 to 2007 on annual basis, from 1983:1 to 2003:1 on quarterly basis and from 1982:1 to 2006:12 on...

Generalized autoregressive conditional heteroscedasticity (GARCH)-type models have been successively used to capture the conditional volatility of macroeconomic and financial time series in the past two decades. However, few diagnostic tests are specifically devised to check the adequacy of...