Market efficiency, thin trading and non-linear behaviour: Emerging market evidence from Sri Lanka
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F11%3A43865225" target="_blank" >RIV/70883521:28120/11:43865225 - 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
Market efficiency, thin trading and non-linear behaviour: Emerging market evidence from Sri Lanka
Original language description
This paper investigates the efficiency of Colombo Stock Exchange (CSE) taking into account the possibility of non-linearities in the price time series, and thin trading characteristics of the Sri Lankan stock market. We use the data on the All Share Price Index (ASPI) for the period from January 1990 to December 2009. We use an AR(1) model to estimate the residuals of the AR(1) equation, and then adjust the returns for thin trading. In addition to that an augmented logistic equation model is used as a basis for investigation to take into account the nonlinearity in the data. The study finds significant autocorrelations in the unadjusted daily market returns for thin trading for the period of 1990 to 2009. However, the above predictability is removed when we use thin trading adjusted returns to the model. After incorporating non- linear components into the model, we find that statistically significant non linearity in the CSE after and before adjusting returns for thin trading. Therefor
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
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
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
E+M. Ekonomie a Management
ISSN
1212-3609
e-ISSN
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Volume of the periodical
14
Issue of the periodical within the volume
1
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
10
Pages from-to
112-122
UT code for WoS article
000296411900009
EID of the result in the Scopus database
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