TY - JOUR
T1 - Sectoral integration and investment diversification opportunities
T2 - evidence from Colombo Stock Exchange
AU - Ahmed, Awais
AU - Ali, Rizwan
AU - Ejaz, Abdullah
AU - Ahmad, Muhammad Ishfaq
N1 - Publisher Copyright:
© 2018 by author(s) and VsI Entrepreneurship and Sustainability Center.
PY - 2018/3/30
Y1 - 2018/3/30
N2 - 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 sectors are selected for running cointgeration at Level 1. Findings examined that no sector is integrated with other sectors. Thus, CSE provides excellent diversification opportunity to the investors. From an investor point of view, the findings of the study are helpful for a well-diversified portfolio by selecting stocks from those sectors which are not integrated with other sectors and minimize the unsystematic risk. This study significantly contribute the existing literature particularly those investors who want to diversify their portfolios domestically rather internationally.
AB - 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 sectors are selected for running cointgeration at Level 1. Findings examined that no sector is integrated with other sectors. Thus, CSE provides excellent diversification opportunity to the investors. From an investor point of view, the findings of the study are helpful for a well-diversified portfolio by selecting stocks from those sectors which are not integrated with other sectors and minimize the unsystematic risk. This study significantly contribute the existing literature particularly those investors who want to diversify their portfolios domestically rather internationally.
UR - http://www.scopus.com/inward/record.url?scp=85044987326&partnerID=8YFLogxK
UR - https://jssidoi.org/jesi/article/164
U2 - 10.9770/jesi.2018.5.3(8)
DO - 10.9770/jesi.2018.5.3(8)
M3 - Article
AN - SCOPUS:85044987326
SN - 2345-0282
VL - 5
SP - 514
EP - 527
JO - Entrepreneurship and Sustainability Issues
JF - Entrepreneurship and Sustainability Issues
IS - 3
ER -