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The month of the year effect: empirical evidence from Colombo stock exchange

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dc.contributor.author Thushara, S.C.
dc.contributor.author Perera, P.
dc.date.accessioned 2016-02-12T08:38:23Z
dc.date.available 2016-02-12T08:38:23Z
dc.date.issued 2013
dc.identifier.citation Thushara, S. C., & Perera, P. 2013. The month of the year effect: empirical evidence from Colombo stock exchange. Proceedings of the 2nd International Conference on Management and Economics 2013. en_US
dc.identifier.uri
dc.identifier.uri http://repository.kln.ac.lk/handle/123456789/11737
dc.description.abstract Many researchers have tested whether the seasonal anomalies are present in the stock markets. Those studies have been carried out in the stock markets both in the developed and developing economies. Existence of seasonal anomalies let the investors to earn abnormal returns by trading on past information. Most common seasonal anomalies are day of the week effect, month of the year effect, holiday effect, Monday effect and Friday effect. Although information technology and regulatory mechanisms are much stronger than ever, there are strong evidences to support that seasonal anomalies exist in stock exchanges both in developing and developed countries. Furthermore, Colombo Stock Exchange has been named recently as one of the stock exchanges with higher returns in the world. Thus, it is of paramount importance identify how those returns are made of. Abnormal returns gained from anomalies cannot be justified from a risk-return standpoint. Yet it remains as an important element of stock returns. This study attempts to examine whether the month of the year effect and January effect are present in the Colombo Stock Exchange based on data from January 2000 to December 2011. For the purpose of analysis, non linear GARCH t model is employed along with other techniques due to its strong capability to detect such anomalies. Results provide evidence to support the claim that both the month of year effect and January effect exist in the Colombo Stock Exchange despite its use of modern information technology infrastructure and regulatory developments. en_US
dc.language.iso en en_US
dc.subject Seasonal Anomalies en_US
dc.subject The month of the year effect en_US
dc.subject January effect en_US
dc.subject Stock returns en_US
dc.title The month of the year effect: empirical evidence from Colombo stock exchange en_US
dc.type Article en_US


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