Symposia & Conferences
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Item The week of the month effect of stock returns: Empirical evidence from the Colombo Stock Exchange(Department of Finance, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka., 2025) Perera, M. A. M. M. F.; Madhushani, P. W. G.Introduction: The purpose of this study is to examine the existence of the week-of-the-month effect in the Colombo Stock Exchange (CSE) from 2014 to 2024 while considering the effects of the significant economic event in Sri Lanka that has any impact on the week-of-the-month effect. Methodology: Weekly closing prices of the All Share Price Index (ASPI) were collected from CSE for a sample period of 10 years, from 2014 to 2024. The weekly returns of the ASPI were calculated using the logarithm rerun calculation formula. The study used the Ordinary Least Square Method (OLS), GARCH model and EGARCH model to examine the effect. To explore the best-fitted models, GARCH and EGARCH models were compared using AIC and SIC. Findings: The results of the study revealed that there is a third-week effect in period 01 and a fifth-week effect in period 02 at a 5% significant level. In the full period, there is a negative third-week effect at a 10% significant level and a positive fifth-week return at a 5% significant level. Conclusion: The findings of the study indicate that there is a week-of-the-month effect exists in Period 1, Period 2, and the Full period in CSE. Also, it is highlighted that the Colombo Stock Exchange is not a weak form efficient market since the investors can earn abnormal returns using trading strategies constructed using the historical information of stock prices.Item The Impact of Monetary Policy on Stock Market Performance: Evidence from Sri Lanka(Department of Finance, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka., 2025) Nimesha, A. T.; Piyananda, S. D. P.Introduction: The study explores the pivotal role of monetary policy in shaping stock market performance, focusing on Sri Lanka's All Share Price Index (ASPI). It highlights the critical influence of monetary tools like Treasury Bill Rate (TBR), Money Supply (M2), Standing Lending Facility Rate (SLFR), and Statutory Reserve Ratio (SRR) alongside macroeconomic variables like the Exchange Rate and Inflation Rate. By addressing the gaps in existing literature, particularly during the post-COVID-19 economic crisis, the research emphasizes the dynamic interplay between monetary policy and market performance. Methodology: This will be a quantitative test based on secondary data from July 2014 to August 2024, which was extracted from the Colombo Stock Exchange and Central Bank of Sri Lanka. Analyzing the research will draw upon econometric methods which include tests of unit roots, regression analysis, and diagnostic checks for multicollinearity, heteroskedasticity, and autocorrelation in order to draw conclusions about how monetary policy variables affect the ASPI. The model has been developed considering its robustness and reliability by incorporating all the required macroeconomic indicators as control variables. Findings: The above analysis indicates that monetary policy variables such as money supply, treasury bill rate, and inflation rate are positively and significantly related to ASPI. Thereby, these variables prove to be the important contributors toward improving stock market performance in Sri Lanka. On the contrary, SLFR and ER negatively influence ASPI, reflecting the devastating effects of the tight monetary stance and currency depreciation on market dynamics. The contribution of the SRR, though positive, is insignificant to explain the trend in the stock market. All diagnostic tests prove that the estimated model is reliable and free from multicollinearity, heteroskedasticity, or autocorrelation. The findings emphasize that monetary policy does not have a one-way effect on the stock market in Sri Lanka. Conclusion: Monetary policy significantly influences the performance of the stock market in Sri Lanka; therefore, proper monetary interventions are very important in creating a stable and prosperous market. Though the findings support theoretical expectations and prior literature on the subject, there are limitations to this present study, which include exclusion of some of the key macroeconomic variables, such as fiscal policy, and also sector-specific analysis. Thus, future study could elaborate more on those dimensions and create more comprehensive insights. These are very important findings in terms of the policy implications for policymakers and investors in developing an appropriate view of how monetary policy affects stock performance in emerging economies.Item Testing the Weak Form Efficiency of Emerging Colombo Stock Exchange (CSE)(Department of Finance, Faculty of Commerce and Management Studies, University of Kelaniya, 2015) Gunasekara, H.M.A.L.Efficient Market Hypothesis is a dynamic concept. A market which was not efficient in the past could be efficient today due to the changes occurring in the capital market environment. In an efficient market nobody can predict the returns and enjoy abnormal returns as the prices already reflect all the available information. Efficient Market Hypothesis can be studied under three forms as weak form efficiency, semistrong form efficiency and strong form efficiency. This study attempts to test the weak form efficiency of the Colombo Stock Exchange (CSE) and to determine what strategies to follow to make profits in CSE. In this study, daily market closing index of ASPI of CSE for five years, from June 2010 to June 2015, without adjustments, has selected as the sample. Both parametric tests and non-parametric tests have been used in this study. This study has used, Augmented Dickey-Fuller Unit Root Test, Autocorrelation Test and Runs Test for analyzing data. Augmented Dickey-Fuller Unit Root Test revealed that the ASPI index series in First Difference is stationary. Therefore, the log returns of the ASPI have been considered for the statistical tests in this study. Autocorrelation Test revealed that the return predictability exists in the CSE and confirmed that CSE is not weak form efficient within the sample period. The results of the Runs Test, which is a non-parametric test, are also consistent with the Autocorrelation Test and confirmed that the CSE is not weak form efficient within the sample period. Therefore, Technical Analysis techniques are valid in the CSE and can be utilized to generate excess returns. However, inclusion of transaction cost to the model will provided more opportunity for further studies.