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  • 标题:Identifying Return Distribution of Sri Lankan Stock Market Index
  • 本地全文:下载
  • 作者:N. V. Chandrasekara ; C. D. Tilakaratne
  • 期刊名称:Universal Journal of Accounting and Finance
  • 印刷版ISSN:2331-9712
  • 电子版ISSN:2331-9720
  • 出版年度:2014
  • 卷号:2
  • 期号:3
  • 页码:53-56
  • DOI:10.13189/ujaf.2014.020301
  • 语种:English
  • 出版社:Horizon Research Publishing
  • 摘要:In the current financial world, prediction of stock returns has become a vital task. Many prediction techniques available recently depend on the return distribution of stock index. Identifying return distribution of stock return has an immense interest among researchers nowadays. Many researchers have proposed different distributions to model the return distribution of stock market indices. However a study aimed at finding the distribution of return series of local stock indices was not found. In this study return distributions of All Share Price Index (ASPI) of the Colombo stock exchange was examined. The study period consists of 5 years daily data from 1st August 2007 to 31st July 2012 of the ASPI. Results display that the return distribution of ASPI cannot be modeled using Normal distribution and Student's t distribution. The Scaled t distribution with parameters mu = 0.0000613719, sigma = 0.00619983 and nu = 2.54137 can be introduced as the best distribution to model the return distributions of All share price index. Kolmogorov-Smirnov (K-S) Test has been used to access the suitability of fitted distribution. Random numbers were generated using Scaled t distribution with above mentioned parameters and the K-S test was carried out using the generated series and the return series of ASPI. The same procedure was repeated 100 times in order to improve the accuracy of results. Minimum p-value of 0.0534 was obtained in the simulation study and exhibit that the test is not significant under 5% level of significance above 95% times. Finding of this research will help many researches in the financial sector of Sri Lanka to use an appropriate distribution for modeling the ASPI returns and hence to enhance the forecasting accuracy.
  • 关键词:Return Distribution;All Share Price Index;Colombo Stock Exchange;Scaled T Distribution;Kolmogorov-Smirnov Test
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