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  • 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 statistically significant 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.
  • 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 statistically significant 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. (en)
Title
  • Predictability of short-horizon-returns in the Colombo Stock Exchange
  • Predictability of short-horizon-returns in the Colombo Stock Exchange (en)
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  • Predictability of short-horizon-returns in the Colombo Stock Exchange
  • Predictability of short-horizon-returns in the Colombo Stock Exchange (en)
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  • RIV/70883521:28120/09:63508463!RIV10-MSM-28120___
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  • 335430
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  • RIV/70883521:28120/09:63508463
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  • Predictability; autocorrelation, Colombo Stock Exchange (en)
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  • [D6BF85434879]
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  • Finance a výkonnost firem ve vědě, výuce a praxi ? recenzovaný sborník mezinárodní konference
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  • Pathirawasam, Chandrapala
  • Kráľ, Miloš
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  • Univerzita Tomáše Bati ve Zlíně
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  • 978-80-7318-798-9
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  • 28120
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