1. Research Repository
  2. UoJ Publications
  3. Conference Proceeding
  4. JUICE
  5. JUICE 2012
Please use this identifier to cite or link to this item: http://repo.lib.jfn.ac.lk/ujrr/handle/123456789/3702
Full metadata record
DC FieldValueLanguage
dc.contributor.authorPeiris, T.U.I.
dc.date.accessioned2021-07-19T05:40:26Z
dc.date.accessioned2022-07-07T07:14:19Z-
dc.date.available2021-07-19T05:40:26Z
dc.date.available2022-07-07T07:14:19Z-
dc.date.issued2012
dc.identifier.issn2279-1922
dc.identifier.urihttp://repo.lib.jfn.ac.lk/ujrr/handle/123456789/3702-
dc.description.abstractThis paper fits Exponential Generalized Auto-Regressive Conditional Heteroskedasticity (EGARCH) and Threshold GARCH (TGARCH) models to the daily closing All Share Price Index (ASPI) of Colombo Stock Exchange (CSE) for the War and Post-war Periods to recognize the leverage and news impact in CSE. The empirical results indicate that the news impact is symmetric and the leverage effect does not exist during the war periods. However, in the post-war period leverage effect exists and the news impact is asymmetric. During both these periods a positive returns shock to CSE produces lower volatility than a negative returns shock. Also the relationship between volatility and returns is negative for both the periodsen_US
dc.language.isoenen_US
dc.publisherUniversity of Jaffnaen_US
dc.subjectLeverageen_US
dc.subjectNews Impacten_US
dc.subjectEgarchen_US
dc.subjectTgarchen_US
dc.titleAn Empirical Investigation of News Impact on Stock Market Volatility during War and Post-war Periods in Sri Lankaen_US
dc.typeArticleen_US
Appears in Collections:JUICE 2012

Files in This Item:
File Description SizeFormat 
An Empirical Investigation of News Impact on Stock Market.pdf306.46 kBAdobe PDFThumbnail
View/Open
Show simple item record


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.