Does the Predictability of Short-horizon Returns in Colombo Stock Exchange due to Infrequently Traded Stocks?

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Does the Predictability of Short-horizon Returns in Colombo Stock Exchange due to Infrequently Traded Stocks?

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Does the Predictability of Short-horizon Returns in Colombo Stock Exchange due to Infrequently Traded Stocks?

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2010

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

International Research Conference on Business & Information 2010

ISBN

978-955-8044-91-8

ISSN

—

e-ISSN

—

Počet stran výsledku

14

Strana od-do

—

Název nakladatele

University of Kelaniya

Místo vydání

Srí Lanka

Místo konání akce

University of Kelaniya, Srí Lanka

Datum konání akce

1. 1. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—