Equity market volatility behavior in Sri Lankan context
File version
Version of Record (VoR)
Author(s)
Nimal, PD
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Date
Size
File type(s)
Location
License
Abstract
Colombo Stock Exchange (CSE) in Sri Lanka is at its first level of emerging markets. Volatility of emerging markets are considered to be high and characterized by complex features. Therefore, this study focusses on examining the volatility behavior of Colombo Stock Exchange with advanced econometric models. Here GARCH, EGARCH and TGARCH models are used to capture the complex volatility features. It is observed that volatility clustering and leverage effect exists in Colombo Stock Exchange. Further, negative shocks creates more volatility compared to a positive shocks generated in the market. TGARCH model assuming student-t probability distribution function is more suitable to explain the volatility in Colombo Stock Exchange among the models described above according to the Akaike and Schwarz information criteria.
Journal Title
Kelaniya Journal of Management
Conference Title
Book Title
Edition
Volume
4
Issue
2
Thesis Type
Degree Program
School
Publisher link
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement
© The Author(s) 2016. This is an Open Access article distributed under the terms of the Creative Commons Attribution 4.0 International License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Item Access Status
Note
Access the data
Related item(s)
Subject
Applied Economics
Persistent link to this record
Citation
Morawakage, PS; Nimal, PD, Equity market volatility behavior in Sri Lankan context, Kelaniya Journal of Management, 4 (2), pp. 1-9