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Empirical Investigation of Price Variability Mechanism of the Colombo All Share Price Index

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dc.contributor.author Kumar, V.
dc.contributor.author Mittal, P.
dc.date.accessioned 2015-04-28T06:09:53Z
dc.date.available 2015-04-28T06:09:53Z
dc.date.issued 2010
dc.identifier.citation Kumar, Vinod and Mittal, Prabhat, 2010. Empirical Investigation of Price Variability Mechanism of the Colombo All Share Price Index, In: Proceedings of the 1st International Conference on Business and Information, University of Kelaniya. en_US
dc.identifier.uri
dc.identifier.uri http://repository.kln.ac.lk/handle/123456789/7180
dc.description.abstract There is considerable quantitative research on stock market volatility internationally, but little on SriLanka‟s emerging stock markets. Using Colombo Stock Exchange ASPI return data, this paper investigates the index price variability mechanism in different time horizons using Realized volatility as a tool. The paper also considers S&P CNX Nifty Index of National Stock Exchange, India for computing the Index returns variability during 2005-2009 and then investigates whether any analogous asymmetric characteristic is reflected in the two emerging markets. We find no significant asymmetry in the volatility proportions computed in different time horizon on either of the considered emerging markets as compared to a common finding for developed stock markets that exhibits a larger return volatility due to negative shock entering the market. en_US
dc.language.iso en en_US
dc.publisher University of Kelaniya en_US
dc.subject ASPI, NIFTY, Realized Volatility en_US
dc.title Empirical Investigation of Price Variability Mechanism of the Colombo All Share Price Index en_US
dc.type Article en_US


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