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ANALYSIS OF THE RELATIONSHIP OF STOCK MARKET WITH EXCHANGE RATE AND SPOT GOLD PRICE OF SRI LANKA

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dc.contributor.author Wickramasinghe, WTN
dc.date.accessioned 2017-06-05T05:17:50Z
dc.date.available 2017-06-05T05:17:50Z
dc.identifier.uri http://dl.lib.mrt.ac.lk/handle/123/12779
dc.description.abstract Intention of this thesis is to analyze the interrelationship of stock market volatility with LKR/USD exchange rate and spot gold prices in Sri Lankan stock market. There are several statistical techniques used in this study, such as Unit Root Augmented Dickey Fuller test, Box-Pierce test, Ljung–Box test, ARCH LM test in order to identify the relationship between stock returns and macroeconomic variables. Daily data for All Share Price Index, Exchange rate and Spot gold prices were collected over six-year period from 4th Jan 2010 to 4th Mar 2016. EGARCH specification, which was proposed by Nelson was used to model the variables in order to derive an equation to forecast the future behavior of stock returns. Evidently, statistical model depicted a strong evidence on non-existence of relationship between stock returns and exchange rate but it was proven the strong negative relationship between stock returns and spot gold price returns. en_US
dc.language.iso en en_US
dc.subject Volatility, Stock Return, Exchange Rate Return, Unit Root Augmented Dickey Fuller test, GARCH,EGARCH en_US
dc.title ANALYSIS OF THE RELATIONSHIP OF STOCK MARKET WITH EXCHANGE RATE AND SPOT GOLD PRICE OF SRI LANKA en_US
dc.type Thesis-Abstract en_US
dc.identifier.faculty Engineering en_US
dc.identifier.degree Degree of Master of Science en_US
dc.identifier.department Department of Mathematics en_US
dc.date.accept 2016-05
dc.identifier.accno TH3304 en_US


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