Please use this identifier to cite or link to this item:
http://repository.kln.ac.lk/handle/123456789/10547
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Morawakage, P.S. | - |
dc.contributor.author | Weerasinghe, W.D.J.D. | - |
dc.date.accessioned | 2015-12-03T04:32:32Z | - |
dc.date.available | 2015-12-03T04:32:32Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Morawakage, P.S. and Weerasinghe, W.D.J.D. 2015. Equity Market Volatility Behavior in Sri Lankan Context. 6th International Conference on Business & Information ICBI – 2015, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka. | en_US |
dc.identifier.issn | 2465-6399 | - |
dc.identifier.uri | http://repository.kln.ac.lk/handle/123456789/10547 | - |
dc.description.abstract | Colombo Stock Exchange (CSE) in Sri Lanka is at its first level of emerging markets. Volatility of emerging markets are considered to be high and characterized by complex features. Therefore, this study focusses on examining the volatility behavior of Colombo Stock Exchange with advanced econometric models. Here GARCH, EGARCH and TGARCH models are used to capture the complex volatility features. It is observed that volatility clustering and leverage effect exist in Colombo Stock Exchange. Further, negative shock creates more volatility compared to a positive shock generated in the market. TGARCH model assuming student-t probability distribution function is more suitable to explain the volatility in Colombo Stock Exchange among the models described above according to the Akaike and Schwarz information criteria. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Faculty of Commerce and Management Studies, University of Kelaniya | en_US |
dc.subject | Volatility | en_US |
dc.subject | GARCH | en_US |
dc.subject | EGARCH | en_US |
dc.subject | TGARCH | en_US |
dc.subject | CSE | en_US |
dc.subject | Clustering | en_US |
dc.subject | Leverage | en_US |
dc.title | Equity Market Volatility Behavior in Sri Lankan Context | en_US |
dc.type | Article | en_US |
Appears in Collections: | ICBI 2015 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Morawakage, P. S.pdf | 87.62 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.