An Investigation of Statistical Behaviors of the Stock Market Fluctuations in the Colombo Stock Market: ARMA & PCA Approach
R. M. Kapila Tharanga Rathnayaka, D. M. K. N. Seneviratna, Zhong-jun Wang
Journal of Scientific Research and Reports · pp. 130–138 · Published 9 Oct 2013
10.9734/JSRR/2014/5409Abstract
Throughout the world, Equity markets have been advanced as the main forms of investment for numerous organizations and individuals arraying large investments and funds to the general public. The nature of the stock market becomes highly volatile. The demeanor of aggregate stock prices and trade volume behaviors play a significant role in stock market fluctuations. 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 2007 to 2012. The results reveal that both micro and macro-economic factors directly impact on market volatility. The unit root test results found that, all the sectors in the CSE are highly stationary under the 0.05 level of significance. Moreover, results forecast suggest that Bank Finance and Insurance, Beverage Food and Tobacco, and Investment Trust sectors are most suitable sectors for investing capitals over a period of several months in the future.
Cited by 13
Mohamed Ismail Mohamed Riyath, Narayanage Jayantha Dewasiri, Mohamed Abdul Majeed Mohamed Siraju · VUCA and Other Analytics in Business Resilience, Part A · 2024
Hasitha Indika Arumawadu, R. M. Kapila Tharanga Rathnayaka, S. K. Illangarathne · Journal of Data Analysis and Information Processing · 2015
R. M. Kapila Tharanga Rathnayaka, D. M. K. N. Seneviratna, Wei Long · Energy Sources, Part B: Economics, Planning, and Policy · 2018
R. M. Kapila Tharanga Rathnayaka, D.M.K.N Seneviratna, Wei Jianguo · 2015 International Conference on Behavioral, Economic and Socio-cultural Computing (BESC) · 2015
R. M. Kapila Tharanga Rathnayaka, Wei Jianguo, D. M. K. N Seneviratna · 2014 International Conference on Behavioral, Economic, and Socio-Cultural Computing (BESC2014) · 2014
Showing 5 of 13 known citations — external sources report more than can currently be individually listed.
Related research
- Corporate Fraud Tendencies Versus Initial Public Offerings (IPOs) Initial Returns Volatility — shares topic coverage
- Heuristics Bias and Investment Performance: Does Age Matter? Evidence from Colombo Stock Exchange — shares topic coverage
- Does Gender Representation at Decision Making Levels Matter for Better Financial Performance of Local Licensed Commercial Banks in Sri Lanka? — shares topic coverage
- Capital Structure and Firm Performance: How Does Marketing Expense Interact? — shares topic coverage
- An ARMA Model for Short-term Prediction of Hepatitis B Virus Seropositivity among Blood Donors in Lafia-Nigeria — shares topic coverage
Article metrics
Real usage data collected on this platform.
34
Page views
0
PDF downloads
3
Outbound clicks
13
Citations
Views over time
Views by country
Approximate, from request IP at view time — not citizenship or institution. Countries with fewer than 5 views are grouped as "Other".
Traffic sources
Referring site, by host.
Views and downloads exclude known bots/crawlers. Citations combines this platform's own DOI-resolved index with each external source's own reported total — see Cited by above for individually listed citing works. Last refreshed 0 seconds ago.