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Impact of Macroeconomic Variables on Stock Market Returns: A Case Study of Colombo Stock Exchange, Sri Lanka.

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dc.contributor.author Rathnayaka, R. M. K. T.
dc.contributor.author Seneviratna, D. M. K. N.
dc.date.accessioned 2017-11-29T06:41:54Z
dc.date.available 2017-11-29T06:41:54Z
dc.date.issued 2017
dc.identifier.citation Rathnayaka, R. M. K. T., and Seneviratna, D. M. K. N. (2017). Impact of Macroeconomic Variables on Stock Market Returns: A Case Study of Colombo Stock Exchange, Sri Lanka. 8th International Conference on Business & Information ICBI – 2017, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka. p.06. en_US
dc.identifier.uri http://repository.kln.ac.lk/handle/123456789/18309
dc.description.abstract Unexpected circumstances with respect to the social and economic conditions, the stock market indices have been moving up and down with high volatility. This study examines the equilibrium relationships between the stock market indices and macro-economic factors in Sri Lankan during the period from January, 2009 to December 2016 to capture the linear inter-dependencies, by using Vector Autoregressive Regression and Vector Error Correlation Model, Estimated co-integration rank test and Max-eigenvalue test suggested that there are two co-integration equations exist at the 0.05 level of significance. Furthermore, findings revealed that macroeconomic variables have direct effect on high volatility in Stock Market fluctuations. Moreover, the results concluded that Colombo Stock Exchange (CSE) is highly sensitive to the macroeconomic variables such as real gross domestic product and broad money supply. en_US
dc.language.iso en en_US
dc.publisher 8th International Conference on Business & Information ICBI – 2017, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka. en_US
dc.subject Vector Autoregressive Regression en_US
dc.subject Vector Error Correlation Model en_US
dc.subject Max-eigenvalue Test and Colombo Stock Exchange en_US
dc.title Impact of Macroeconomic Variables on Stock Market Returns: A Case Study of Colombo Stock Exchange, Sri Lanka. en_US
dc.type Article en_US


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