Predictability of short-horizon-returns in the Colombo Stock Exchange

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F09%3A63508463" target="_blank" >RIV/70883521:28120/09:63508463 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Predictability of short-horizon-returns in the Colombo Stock Exchange
Original language description
This paper examines the predictability of equity index returns for Colombo Stock Exchange (CSE), one of the emerging markets in the world, using the autocorrelations of daily and weekly returns for two major indices; All Share Price Index (ASPI) and Milanka Price Index (MPI). Period for the study varies from ASPI to MPI. ASPI data has been used from June 1997 to February 2009 and period for MPI is from January 2000 to February 2009. Source of data is yahoo web site. ASPI daily returns show statisticallysignificant first-orderautocorrelation of 0.193 and R2 of about 3.7 percent and the respective figures for the MPI are 0.167 and 2.8 percent. Despite the significant autocorrelations, small R2 values show that short-horizon-equity returns can not be predicted based on the past index returns. Hence, CSE is weak form efficient.
Czech name
—
Czech description
—

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Finance a výkonnost firem ve vědě, výuce a praxi ? recenzovaný sborník mezinárodní konference
ISBN
978-80-7318-798-9
ISSN
—
e-ISSN
—
Number of pages
8
Pages from-to
—
Publisher name
Univerzita Tomáše Bati ve Zlíně
Place of publication
Zlín
Event location
Zlín
Event date
Apr 23, 2009
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
—

Similar results(10)