Market efficiency, thin trading and non-linear behaviour: Emerging market evidence from Sri Lanka

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Market efficiency, thin trading and non-linear behaviour: Emerging market evidence from Sri Lanka

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Market efficiency, thin trading and non-linear behaviour: Emerging market evidence from Sri Lanka

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název periodika

E+M. Ekonomie a Management

ISSN

1212-3609

e-ISSN

—

Svazek periodika

14

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

112-122

Kód UT WoS článku

000296411900009

EID výsledku v databázi Scopus

—