Digital Repository

Evidence of maturing of the Colombo Stock Exchange: Informational efficiency perspective

Show simple item record

dc.contributor.author Upeksha, P.G.S.
dc.contributor.author Peter, S.
dc.date.accessioned 2018-08-17T05:12:24Z
dc.date.available 2018-08-17T05:12:24Z
dc.date.issued 2018
dc.identifier.citation Upeksha,P.G.S. and Peter,S. (2018). Evidence of maturing of the Colombo Stock Exchange: Informational efficiency perspective. International Research Conference on Smart Computing and Systems Engineering - SCSE 2018, Department of Industrial Management, Faculty of Science, University of Kelaniya, Sri Lanka. p.158. en_US
dc.identifier.uri http://repository.kln.ac.lk/handle/123456789/19024
dc.description.abstract Due to the dynamic nature of capital markets, understanding the informational efficiency of financial markets has become crucial for investors. An implication of an efficient market hypothesis is that no excess returns can be gained from available information, since it is believed that information is priced already in the stock. The objective of this study is to assess market efficiency of the Colombo Stock Exchange (CSE) in Sri Lanka, which is one of the emerging markets in the world. In order to test for weak form efficiency, stationarity of the selected time series is tested using Augmented Dickey-Fuller test. Sri Lanka stock market as a whole and the top three sectors with the highest market capitalization, exhibit random walk processes. Event study methodology is used to assess semi-strong efficiency. Preliminary analysis using both market model and GARCH model revealed that information disclosure of the selected companies has no significant impact on the returns in the CSE as a whole or on the returns of the particular sector. en_US
dc.language.iso en en_US
dc.publisher International Research Conference on Smart Computing and Systems Engineering - SCSE 2018 en_US
dc.subject Event study en_US
dc.subject market efficiency en_US
dc.subject GARCH model en_US
dc.subject market model en_US
dc.title Evidence of maturing of the Colombo Stock Exchange: Informational efficiency perspective en_US
dc.type Article en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record

Search Digital Repository


Browse

My Account