search query: @author Abeysekera, S. P. / total: 2
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| Author: | Abeysekera, S. P. |
| Title: | Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange - A Note |
| Journal: | Journal of Business Finance and Accounting
2001 : JAN-MAR, VOL. 28:1-2, p. 249-261 |
| Index terms: | MARKET EFFICIENCY EMERGING MARKETS STOCK EXCHANGES |
| Language: | eng |
| Abstract: | The behavior of stock prices on the Colombo Stock Exchange is examined with a view to determine its consistency with the weak form of the Efficient Markets Hypothesis. Runs, Autocorrelation and Cointegration tests are applied to daily, weekly and monthly CSE index data for the period of Jan'91-Nov'96. Results of Runs, Correlation and Cointegration tests overwhelmingly reject the serial independence hypothesis, leading to the conclusion that the behavior of stock prices in the Colombo Stock Exchange is not consistent with the weak form of the Efficient Markets Hypothesis. Tests of the-day-of-the-week-effect, however, show that there is no evidence of such a phenomenon on the Colombo Stock Exchange stock prices. Results of the tests of the-month-of-the-year-effect lead to the conclusion that CSE prices do not display any month-specific behavior. |
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