Browsing by Author "Weeraratne, S."
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- ItemA Principal Component Approach for Measuring Investor Sentiment(NSBM Green University, 2019-11-22) Weeraratne, S.Main objective of this study is to understand the sentiment effect in Sri Lankan market while developing an aggregate investor sentiment index. Even with a rich literature on the subject matter, it was understood that empirical findings relevant to Sri Lankan market are minimum. Given this context, current study attempts to test the sentiment effect over a sample period of 96 months, based on all the listed entities at Colombo Stock Exchange. The results suggest existence of sentiment at a marginal level. Upon a comprehensive analysis of number of different sentiment indicators, the study suggests four measures based on extant literature and expert advice. This paper develops a comprehensive index to measure the sentiment of the Colombo stock exchange. The index is a linear combination of four sentiment proxies whose weights are obtained via the principal component method. The study promotes sentiment-based trading rules, which are known to be profitable. The results in this paper provide useful information for investors, business-cycle researchers and academics.
- ItemMarket Efficiency and Related Theories: A Brief History(NSBM Green University, 2018-08-24) Weeraratne, S.This paper mainly focuses on reviewing the theoretical phenomenon with regard to market efficiency. The paper lays the background for the analysis by elaborating the theory of Efficient Market Hypothesis; a theoretical phenomenon bought forward by E. Fama and explained under three different market forms; Weak form, Semi-strong form and Strong form. Each of the different form is elaborated with empirical findings, which both support and oppose the theory. Review it further extended to elucidate other related concepts such as Random walk theory and different Market Anomalies