Research Papers

  • Efficiency of the Sri Lankan Stock Market

    Lalith P Samarakoon
    This paper investigates autocorrelations of market and industry returns in both short- and long-term holding periods in the Colombo Stock Exchange using a long sample period to test the efficiency of stock prices. Daily stock market returns are reliably positively ...

  • Time-Varying Exchange Rate Exposure Coefficients: Evidence From Country Level Stock Returns

    Jayasinghe P. Tsui A. K.
    This paper uses time-varying second moments to inves-tigate exchange rate exposure betas. Using a BEKK-GARCH(1,2,1)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain ...

  • Profitability Of Momentum And Contrarian Strategies In CSE

    Pathirawasam C.1 Weerakoon Banda Y. K.2
    This paper examines the profitability of momentum and contrarian strategies in the Colombo Stock Exchange (CSE) around 1 to 12 months horizon covering the period from October 1991 to June 2005. We follow the same methodology of Jegadeesh and Titman ...

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