Does the Predictability of Short-horizon Returns in Colombo Stock Exchange due to Infrequently Traded Stocks?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F10%3A63509722" target="_blank" >RIV/70883521:28120/10:63509722 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Does the Predictability of Short-horizon Returns in Colombo Stock Exchange due to Infrequently Traded Stocks?
Original language description
Research into the predictability of short-horizon returns in Colombo Stock Exchange (CSE) has produced interesting results as the issue of predictability of returns. Samarakoon (1996) reports that there is a significant autocorrelation in the order of 50percent and coefficient of determination of about 30 percent in the daily market returns during the period of 1991 ? 1995. At the same time Gunasekarage and Power (2005) report that shares in Colombo Stock Exchange are infrequently traded. Therefore, this study has two main objectives. First, to re-examine the autocorrelations of index returns of CSE in order to provide latest evidence on predictability of short-horizon returns. Second, to examine whether predictability of short horizon returns in CSEis due to infrequently trading behavior of stock.This study uses the two market indices of the CSE; All Share Price Index (ASPI) and Milanka Price Index (MPI) from February of 1985 to June 2009. Study uses the univariate time series regre
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
International Research Conference on Business & Information 2010
ISBN
978-955-8044-91-8
ISSN
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e-ISSN
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Number of pages
14
Pages from-to
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Publisher name
University of Kelaniya
Place of publication
Srí Lanka
Event location
University of Kelaniya, Srí Lanka
Event date
Jan 1, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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