With increased movement of investments across international boundaries owing to the integration of world economies, the understanding of efficiency of the emerging markets is also gaining greater importance. This paper investigates the weak form efficiency of the Colombo Stock Ex-change by...

The important status of the commercial banking sector in the financial environment of the economy has encouraged the researchers to inquire into the determinants of bank efficiency. This study focuses on two aspects related to bank efficiency in Sri Lanka. One is to identify the influence of...

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. μ_t-1=0 . Instead, an exogenous variable r_m, along with its vector β_m, that predicts return r_t is introduced to examine the hypothesis that the volume is a...

The objective of this study is to identify the short- and long-run determinants of inflation in Sri Lanka. It follows an eclectic approach to seeking possible determinants of inflation and employs an Autoregressive Distributed Lag (ARDL) bounds testing approach to test for co integration between...

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...

In this paper we argue that the commonly employed exposure coefficient/beta is inadequate for capturing the entire impact of exchange rate changes on firms' future operating cash flows. Instead, we employ the bivariate Glosten–Jagannathan–Runkle generalized autoregressive conditional...

This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index,...