TY - JOUR
T1 - Stock market liberalization and return volatility
T2 - evidence from the emerging market of Sri Lanka
AU - Jaleel, Fazeel M.
AU - Samarakoon, Lalith P.
PY - 2009/12
Y1 - 2009/12
N2 - This study examines the impact of liberalization of the Sri Lankan stock market on return volatility. We specify GARCH and TGARCH models of volatility, and estimate them using 16 years of weekly returns for the period from 1985 to 2000. The results show that liberalization of the market to foreign investors significantly increased the return volatility in the Colombo Stock Exchange. Both conditional and unconditional volatility measures are the highest in the liberalization period. Negative return shocks lead to lower volatility suggesting that there is no leverage effect, and this appears to reflect the very low levels of leverage used by Sri Lankan companies.
AB - This study examines the impact of liberalization of the Sri Lankan stock market on return volatility. We specify GARCH and TGARCH models of volatility, and estimate them using 16 years of weekly returns for the period from 1985 to 2000. The results show that liberalization of the market to foreign investors significantly increased the return volatility in the Colombo Stock Exchange. Both conditional and unconditional volatility measures are the highest in the liberalization period. Negative return shocks lead to lower volatility suggesting that there is no leverage effect, and this appears to reflect the very low levels of leverage used by Sri Lankan companies.
KW - Emerging markets
KW - GARCH and TGARCH models
KW - Liberalization
KW - Volatility
UR - http://www.scopus.com/inward/record.url?scp=70350567328&partnerID=8YFLogxK
U2 - 10.1016/j.mulfin.2009.07.006
DO - 10.1016/j.mulfin.2009.07.006
M3 - Article
AN - SCOPUS:70350567328
SN - 1042-444X
VL - 19
SP - 409
EP - 423
JO - Journal of Multinational Financial Management
JF - Journal of Multinational Financial Management
IS - 5
ER -