13th Students’ Research Symposium 2023/2024
Permanent URI for this collectionhttp://repository.kln.ac.lk/handle/123456789/29096
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Item The Month of the Year Effect of Stock Returns: Empirical Evidence from the Colombo Stock Exchange(Department of Finance, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka., 2025) Anubuddhika, D. G. J.; Madhushani, P. W. G.Introduction: The Efficient Market Hypothesis (EMH) assumes that stock prices fully reflect all the available information ensuring stock market efficiency. The prevalence of seasonal effects leads to market efficiencies, enabling investors to reap abnormal returns. The purpose of this study is to investigate the existence of the January effect of the All-Share Price Index (ASPI) on the Colombo Stock Exchange (CSE), which is supported by the previous findings considering how the most significant economic events in Sri Lanka affect this phenomenon. Methodology: This study examines the stock market anomalies focusing on 10 years of ASPI monthly returns from 2014–2024, which were converted into natural logarithm returns. To address the existence of ARCH effects in the residuals, such as GARCH and EGARCH, apart from the OLS regression model. Findings: Even though there is a negative January effect, the results indicate that there is a positive July effect for the full period, a positive April effect for the pre-crisis period and a significant negative March effect for the post- and recovery period (after 2022). Conclusion: According to the results, EMH is a contradiction as the results exhibit that there are anomalies during the full period, pre-crisis, and post-crisis period. In conclusion, CSE is not a weak form efficient suggesting that investors can earn abnormal returns by applying investment strategies observing historical stock patterns.Item The Day of the Week Effect of Stock Returns: Empirical Evidence from the Colombo Stock Exchange(Department of Finance, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka., 2025) Rupasingha, P. H. P. H.; Madhushani, P. W. G.Introduction: The purpose of this study is to investigate the Day-of-the-Week Effect on stock returns in the Colombo Stock Exchange (CSE), examining whether specific days consistently exhibit abnormal returns. By analyzing the All-Share Price Index (ASPI) data from 2014 to 2024, the research explores how economic crises, such as the Easter Sunday Attack (2019), the COVID-19 pandemic, and Sri Lanka’s financial collapse (2022), influenced these anomalies. Methodology: Statistical techniques, including Ordinary Least Squares (OLS) regression and unit root tests, confirmed the presence of significant daily return patterns. The data sample consists of daily stock returns of all companies listed on the All Share Price Index (ASPI) from April 2014 to April 2024. The data was analyzed in two distinct periods: pre-crisis (2014–2019) and post-crisis recovery (2019–2024). Secondary data was used and retrieved from the CSE website. Findings: Mondays consistently recorded negative returns across all periods, suggesting a “Monday effect.” Thursdays showed the most significant positive returns, particularly during the post-crisis recovery period (2019–2024). Conclusion: The study confirms the existence of the day-of-the-week effect in the Colombo Stock Exchange, with distinct variations during economic crises and recovery periods. These findings underscore the need for further exploration into behavioural finance and its role in emerging markets. Future studies should include cross-market analyses to broaden understanding and applicability. The study provides recommendations to investors and policymakers; investors can understand these patterns and use them to enhance their trading strategies, optimizing buy-sell decisions based on predicted daily returns. Policymakers can gain insights into market inefficiencies and offer opportunities to improve regulatory frameworks and foster greater stability.