Sectoral integration and investment diversification opportunities: evidence from Colombo Stock Exchange
作者: Awais AhmedRizwan AliAbdullah EjazMuhammad I. Ahmad
作者单位: 1University of Lahore, Lahore, Pakistan http://www.uol.edu.pk
2University of Lahore, Lahore, Pakistan http://www.uol.edu.pk
刊名: Entrepreneurship and Sustainability Issues, 2018, Vol.5 (3), pp.514-527
来源数据库: Entrepreneurship and Sustainability Center
DOI: 10.9770/jesi.2018.5.3(8)
关键词: Sectoral integrationDiversificationPortfolioInvestment choiceColombo Stock Exchange
原始语种摘要: This study examined the diversification opportunities within sectors of Colombo Stock Exchange by measuring co-integration among sectors. Those sectors of CSE which are not integrated with others offer good diversification opportunities. Moreover, the study also applies Granger Causality Test to determine which sectors of CSE cause other sectors. This helps an investor informing a diversified portfolio. This study employed daily closing indices of all sectors listed in Colombo Stock Exchange during the period from 1-12-2003 to 31-8-2016. Multivariate Co-integration and Pairwise Co-integration Tests are applied to determine integration among sectors and Granger Causality to determine causal relation among these Sectors of CSE. Stationarity by unit root test revealed that the fourteen...
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关键词翻译
关键词翻译
  • integration 集成
  • evidence 
  • investor 客商
  • unsystematic 无系统的
  • investment 投资
  • stocks 足枷
  • diversified 多种
  • causal 因果
  • opportunity 机会
  • diversify 多样化