Abstract:
Sri Lanka suffered from a civil war for three decades and this conflict
ended in 2009. This study examines the impact of 20 war related
incidents on Sri Lankan Initial Public Offering (IPO) stocks from 2000
to 2009. The broad methodologies used were event study analysis,
Ordinary least square regression analysis (OLS) and the generalized
autoregressive conditional heteroscedasticity (GARCH (1,1)) model.
Under regression, the main techniques used were the Chow
breakpoint test (CBT) and dummy variable analysis. OLS dummy
variable analysis and the ordinary GARCH model appeared to be the
best estimators in measuring the impact of war, while 50% of events
selected had a negative impact on IPO stock returns. The ordinary
GARCH model is recommended for use in assessing the impact of
war on specific security classes or industries.
