An Empirical Investigation on Stock Market Anomalies: The Evidence from Colombo Stock Exchange in Sri Lanka
Bibliographic record
Abstract
The current study examines the Stock Market Anomalies in Colombo Stock Exchange (CSE); Sri Lanka during the period of 2004 to 2013. The existences of both Day of the Week Effect and Monthly Effect have been tested using daily and monthly data respectively. The Ordinary Least Squares (OLS) method and GARCH (1, 1) model were employed to capture the Day of the Week effects and Monthly Effects along with the daily volatility behavior. The sample period was divided in to two periods as War Period and Post War Period in order to take the impacts of the War in to account. The results indicate the presence of negative Monday effect and the positive effects for all other days only for the war period. Further, the positive volatility effect on Monday and the negative volatility effect on Friday have been examined for both war period and the entire sample period with significant Wald F statistics. Despite, the positive January effects are common for all sample periods, the negative December effects cannot be identified for post war period. Hence, the study confirms the existence of Stock Market anomalies; both day of the week effect and monthly effect particularly during the war period. Moreover, these seasonality patterns limit the validity of Efficient Market Hypothesis in the context of Colombo Stock Exchange.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".