An Econometric Evaluation of Colombo Stock Exchange: Evidence from ARMA & PCA Approach

Proceedings of the 2nd International Conference on Management and Economics, 2013

10 Pages Posted: 2 Jun 2014

See all articles by R. M. Kapila Rathnayaka

R. M. Kapila Rathnayaka

Sabaragamuwa University of Sri Lanka - Department of Physical Sciences & Technology, Faculty of Applied Sciences; Wuhan University of Technology - Department of Statistic, Science College

Zhong Wang

Wuhan University of Technology - Department of Statistic, Science College

D.M Kumudu Seneviratna

Wuhan University of Technology

Sachini Nagahawatta

University of Ruhuna

Date Written: 2013

Abstract

Economic data analysis is the process of handling economic data revise beliefs about economic problems. These problems have common structure; Row data are given on the past behaviours and decisions or actions should be taken for predicting future results. Moreover, all the actions might involve under economic decisions and set of mathematical assumptions.

The main goal of this study is to investigate the directions and movements of market prices and trade volume rates in Colombo Stock Exchange (CSE) during 2002 to 2011. The year 2009 was a landmark year for CSE. Many changes happened after the end of the civil war in north part of the country. As a result of their enormous growth, they won Marketplace with the best performance award in 2009. High volatile fluctuations with instability patterns are common phenomenon in the CSE. Principal component method and ARMA models were used to identify the stock market fluctuations.

The results reveals that micro and macro-economic conditions, internal and local political changers, interest rates and oil prices in the world has a direct impact on generating high volatility fluctuations in CSE. In comparison with other markets, during a very short period, CSE has been reached to top level compared with other exchanges around the world.

Keywords: CSE, Principal Component Analysis, ARMA

Suggested Citation

Rathnayaka, R. M. Kapila and Wang, Zhong and Seneviratna, D.M Kumudu and Nagahawatta, Sachini, An Econometric Evaluation of Colombo Stock Exchange: Evidence from ARMA & PCA Approach (2013). Proceedings of the 2nd International Conference on Management and Economics, 2013. Available at SSRN: https://ssrn.com/abstract=2442911

R. M. Kapila Rathnayaka (Contact Author)

Sabaragamuwa University of Sri Lanka - Department of Physical Sciences & Technology, Faculty of Applied Sciences ( email )

P.O. Box 02
Belihuloya
Sri Lanka

Wuhan University of Technology - Department of Statistic, Science College ( email )

122 Luoshi Road
Wuhan, Hubei 430070
China

Zhong Wang

Wuhan University of Technology - Department of Statistic, Science College ( email )

122 Luoshi Road
Wuhan, Hubei 430070
China

D.M Kumudu Seneviratna

Wuhan University of Technology ( email )

Wuhan University of Technology, China
Faculty of Engineering, University of Ruhuna
Wuhan
China

Sachini Nagahawatta

University of Ruhuna ( email )

Faculty of Engineering, University of Ruhuna
Galle, Southern 00000
Sri Lanka

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