Browsing by Author "Lingaraja, K."

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    Causality Effect and Exchange Rate Volatility of Sri Lankan Rupee and Emerging Asian Currencies against USD
    (International Conference on Business and Information (ICBI – 2019), [Accounting, Finance and Economics], Faculty of Commerce and Management Studies, University of Kelaniya Sri Lanka, 2019) Lingaraja, K.; Mohan, C.J.B.; Raja, M.
    This study examines the long-run volatility and causality effects of Sri Lankan (LKR) currency and nine currency of emerging countries in Asia against USD over 15 years i.e., from 01st January, 2002 to 31st December, 2018. A descriptive statistics and Graphical model were specified and empirical results showed a significant currencies movements. The Granger causality test indicates the strong evidence that the causation runs between Sri Lankan currency (LKR / USD) to nine Asian emerging countries currency price behavior against USD. The purpose of the study is to make a finer point with respect to relationship, volatility and causality effect between the Sri Lankan currency and Asian Emerging countries currency returns against USD. It is found that the significant uni-directional causality effects and relationships among the sample currency data series with LKR against USD. Hence, this result would help to international portfolio managers, multinational corporations, and policymakers for decisionmaking in the Asian region.
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    Movements and Linkages between Emerging Stock Market Indices with Currency Returns: A Study with Reference to ASIA.
    (8th International Conference on Business & Information ICBI – 2017, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka., 2017) Lingaraja, K.; Selvam, M.; Raja, M.; Ramkumar, R. R.
    The aim of this study is to investigate the co-movements and dynamic linkages, between stock prices in emerging equity markets and exchange rates in currency markets of Asia, for eight countries, namely, China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand, by estimating correlation and granger causality tests, with 15 years daily returns for the period from 1st January, 2002 to 31st December, 2016. This research study focused on currency rate returns, which were evaluated against respective Stock market indices of Asian emerging markets. It applied different statistical tools to analyze the obtained data. The research study also analyzes the causal relationship between the time series data, pertaining to currency and sample stock indices of Asian countries. The study found no correlation between indices and exchange rate returns of countries of Asia, though very weak relationship did exists, except China and Indonesia. The result indicated the non-existence of linkages and movements between the exchange rate and stock market index, under sample emerging countries in Asia, during the period under study.