Dynamic relationships between stock market performance and short term interest rate Empirical evidence from Sri Lanka

Asankha Pallegedara

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the dynamic relationships between stock market performance and the interest rates in Sri Lanka during June 2004 to April 2011. We use all share price index in the Colombo stock exchange as a measure of stock market performance indicator and Sri Lanka interbank offer rate as a measure of interest rate. We employ some conventional time series econometric techniques namely Unit root test, cointegration test, vector auto correction model (VECM), Granger-Causality test and Impulse response functions (IRF) to trace out the relationships between stock market index and interest rate. The findings of interest include stock market performance is negatively associated with interest rate in the long run while no causal relationship is found in the short run.

Keywords: Colombo Stock Exchange; interest rate; cointegration; vector error correction model (search for similar items in EconPapers)
JEL-codes: E44 G15 (search for similar items in EconPapers)
Date: 2012-08-18
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/40773/1/MPRA_paper_40773.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:40773

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().