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Seasonal Anomalies of Stocks in Emerging Equity Market - A Special Reference to Colombo Stock Exchange - Period from 1985 to 2007

Author:

AL Abdul Rauf

Senior Lecturer, Department of Accountancy and Finance, Faculty of Management and Commerce, South Eastern University of Sri Lanka, LK
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Abstract

This research attempts to examine the day of the week effect and monthly effect on stock returns in the stock market in the Colombo Stock Exchange (CSE). To achieve the objectives four hypotheses were developed. The sample included emerging stock market from CSE from 1985 to 2007. Adjusted closed stock market indices are collected through online data stream.

The results of the analysis revealed that the null hypothesis of equality in mean return is rejected and shows there is a day of the week effect in stock market in the CSE. The results of the study have important implications for the investors, management of companies and the stock market regulatory agencies.  The investors could make use of these findings to make decisions with regard to buying or selling to make profits or avoid losses.  This kind of research can motivate the development of the share market activities through findings ways and means investors can earn better returns, development of the stock exchange and  the development of the national economy.

Key words: Day of the week effect; January effect; Anomalies

Sri Lankan Journal of Humanities and Social Sciences Vol.1(2) Oct 2009

How to Cite: Rauf, A.A., (2010). Seasonal Anomalies of Stocks in Emerging Equity Market - A Special Reference to Colombo Stock Exchange - Period from 1985 to 2007. Sri Lanka Journal of Humanities and Social Sciences. 1(2), p.None.
Published on 13 Dec 2010.
Peer Reviewed

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