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dc.contributor.advisor Thillakarathne, PMC
dc.contributor.advisor Samarasinghe, K
dc.contributor.author Amarasiri, KPPM
dc.date.accessioned 2019-01-12T00:26:43Z
dc.date.available 2019-01-12T00:26:43Z
dc.identifier.uri http://dl.lib.mrt.ac.lk/handle/123/13778
dc.description.abstract This research investigates the existence of Calendar Anomalies in the Colombo Stock Exchange (CSE) over a 14 year period: 1 January 1994 through 31 March 2007. Out ofthe well admired calendar anomalies, this study examines the Day ofthe week and Holiday Effects. Over the past three decades although a number of calendar anomalies have been discovered in stock returns in markets ranging from developed through emerging to less developed ones, only a handful of researches focused on emerging Asian capital markets. However most ofsuch researches suffer from several restrictive assumptions innate to the Multivariate Regression Analysis. This study, on contrary, covers up a sample period considerably longer and exploits an improved model. The market strategies suggested and the inferences that can be made to the weak form of market efficiency further validate the importance ofthis study. This study basically utilizes the logarithmic form ofthe non dividend adjusted closing daily return data of the All Share Price Index (ASPI) of CSE and employs the same Multivariate Regression Analysis but with some adjustments to control any bearing of all other possible events on the stock returns and to wipe out some of the restrictive assumptions, as such measures are imperative in avoiding spurious results. The results suggest that stock returns in the CSE to a certain extent are not in agreement with the random walk hypothesis as they indicate the presence of a strong day ofthe week effect during the period under study with the highest and lowest (and the negative) returns observed on Fridays and Mondays respectively. On contrary to some ofthe findings in the region and US, CSE indicates the presence ofsignificantly positive post holiday returns during the same period. The limited role played by Brokerage Companies, frequent market manipulations reported over the past few years and other institutional reforms seem to be rational explanations for the presence of seasonal anomaly. This finding in fact implies a constructive trading strategy to the market participants, those investors who want to buy stocks should avoid doing so on Fridays and those who want to sell should avoid doing so on Mondays. en_US
dc.language.iso en en_US
dc.title Seasonality effects of emerging stock markets : evidence from Sri Lanka en_US
dc.type Thesis-Abstract en_US
dc.identifier.faculty Engineering en_US
dc.identifier.degree Master of Business Administration in Management of Technology en_US
dc.identifier.department Department of Management of Technology en_US
dc.date.accept 2007-12
dc.identifier.accno 90785 en_US


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