An Empirical Investigation of News Impact on Stock Market  Volatility during War and Post-war Periods in Sri Lanka

dc.contributor.author	Peiris, T.U.I.
dc.date.accessioned	2021-07-19T05:40:26Z
dc.date.accessioned	2022-07-07T07:14:19Z
dc.date.available	2021-07-19T05:40:26Z
dc.date.available	2022-07-07T07:14:19Z
dc.date.issued	2012
dc.identifier.issn	2279-1922
dc.identifier.uri	http://repo.lib.jfn.ac.lk/ujrr/handle/123456789/3702
dc.description.abstract	This 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 periods	en_US
dc.language.iso	en	en_US
dc.publisher	University of Jaffna	en_US
dc.subject	Leverage	en_US
dc.subject	News Impact	en_US
dc.subject	Egarch	en_US
dc.subject	Tgarch	en_US
dc.title	An Empirical Investigation of News Impact on Stock Market Volatility during War and Post-war Periods in Sri Lanka	en_US
dc.type	Article	en_US