Browsing by Author "Nimal, P.D."

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    Equity Market Volatility Behavior in Sri Lankan Context
    (University of Kelaniya, 2015) Morawakage, P.S.; Nimal, P.D.
    Colombo Stock Exchange (CSE) in Sri Lanka is at its first level of emerging markets. Volatility of emerging markets are considered to be high and characterized by complex features. Therefore, this study focusses on examining the volatility behavior of Colombo Stock Exchange with advanced econometric models. Here GARCH, EGARCH and TGARCH models are used to capture the complex volatility features. It is observed that volatility clustering and leverage effect exists in Colombo Stock Exchange. Further, negative shocks creates more volatility compared to a positive shocks generated in the market. TGARCH model assuming student-t probability distribution function is more suitable to explain the volatility in Colombo Stock Exchange among the models described above according to the Akaike and Schwarz information criteria.
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    Equity Risk Premium Puzzle: Evidence from Indonesia and Sri Lanka
    (Bulletin of Indonesian Economic Studies, 2019) Morawakage, P.S.; Nimal, P.D.; Kuruppuarachchi, D.
    This paper investigates the equity risk premium puzzle in the Indonesian and Sri Lankan stock markets in order to identify the relationship between the volatility of excess returns and the equity risk premium. The asymmetric impact of negative shocks on the equity risk premium is also examined using threshold and exponential GARCH-M models. We analyse data on the excess returns of the Indonesian and Sri Lankan stock markets from 2004 to 2013, and we find that the impact of the conditional volatility of excess returns on the equity risk premium is not significant in either country. Instead, we find an impact from negative return shocks on the equity risk premium only in Sri Lanka. Therefore, we conclude that investors are not compensated for the conditional volatility of the excess returns in these two markets, while Sri Lankan investors are compensated for the risk of negative shocks.