dc.contributor.author |
Hewamana, H M R R |
|
dc.contributor.author |
Siriwardhane, D R J |
|
dc.contributor.author |
Rathnayake, R M A K |
|
dc.date.accessioned |
2023-04-03T09:52:22Z |
|
dc.date.available |
2023-04-03T09:52:22Z |
|
dc.date.issued |
2022 |
|
dc.identifier.citation |
Hewamana, H M R R, Siriwardhane, D R J & Rathnayake, R M A K .(2022). NEXUS BETWEEN ASYMMETRIC INFORMATION AND STOCK MARKET VOLATILITY: EVIDENCE FROM SRI LANKA, Sri Lanka Journal of Economic Research Volume 9(2) March 2022 SLJER 09.02.05: pp. 83-100 |
en_US |
dc.identifier.uri |
http://dr.lib.sjp.ac.lk/handle/123456789/12685 |
|
dc.description.abstract |
This study examines the impact of asymmetric information behaviour and
macroeconomic variability in modelling the stock market volatility. CSE market does not
show the characteristics which may potentially lead to larger volatility shocks. The
idiosyncratic volatility is more subjected to the irrational investment decisions with the
absence of relevant market information. Therefore, the information asymmetries motivate
investors to highly depend on irrational reasons which lead to irrational volatility shocks.
The variance equation of the EGARCH model was applied for identifying the impact of
the asymmetric information behaviour. The mean-variance equation of EGARCH has
been modelled with GDP, inflation, interest rate, and money supply for recognizing
macroeconomic impacts. The study finds that the CSE market was significantly
experiencing asymmetric information problem. As a result, uninformed investors make
their decision based on the market sentiment creating irrational price volatilities. The
mean-variance equation shows that macroeconomic variability has a significant impact
on explaining the future asymmetric conditional volatility. However, CSE volatility
spends a few weeks to adjust the relevant macroeconomic shocks. |
en_US |
dc.language.iso |
en |
en_US |
dc.subject |
Asymmetric information, Stock volatility, Macroeconomic volatility determinants, EGARCH |
en_US |
dc.title |
NEXUS BETWEEN ASYMMETRIC INFORMATION AND STOCK MARKET VOLATILITY: EVIDENCE FROM SRI LANKA |
en_US |
dc.type |
Article |
en_US |