Browsing by Author "Mittal, P."

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    Empirical Investigation of Price Variability Mechanism of the Colombo All Share Price Index
    (University of Kelaniya, 2010) Kumar, V.; Mittal, P.
    There is considerable quantitative research on stock market volatility internationally, but little on SriLanka‟s emerging stock markets. Using Colombo Stock Exchange ASPI return data, this paper investigates the index price variability mechanism in different time horizons using Realized volatility as a tool. The paper also considers S&P CNX Nifty Index of National Stock Exchange, India for computing the Index returns variability during 2005-2009 and then investigates whether any analogous asymmetric characteristic is reflected in the two emerging markets. We find no significant asymmetry in the volatility proportions computed in different time horizon on either of the considered emerging markets as compared to a common finding for developed stock markets that exhibits a larger return volatility due to negative shock entering the market.