International Journal of Management and Applied Science (IJMAS)
.
current issues
Volume-5,Issue-8  ( Aug, 2019 )
Past issues
  1. Volume-5,Issue-8  ( Aug, 2019 )
  2. Volume-5,Issue-7  ( Jul, 2019 )
  3. Volume-5,Issue-6  ( Jun, 2019 )
  4. Volume-5,Issue-5  ( May, 2019 )
  5. Volume-5,Issue-4  ( Apr, 2019 )
  6. Volume-5,Issue-3  ( Mar, 2019 )
  7. Volume-5,Issue-2  ( Feb, 2019 )
  8. Volume-5,Issue-1  ( Jan, 2019 )
  9. Volume-4,Issue-12  ( Dec, 2018 )
  10. Volume-4,Issue-11  ( Nov, 2018 )

Statistics report
Oct. 2019
Submitted Papers : 80
Accepted Papers : 10
Rejected Papers : 70
Acc. Perc : 12%
Issue Published : 66
Paper Published : 4089
No. of Authors : 8401
  Journal Paper




Paper Title :
Spectral Analysis On Forecasting Sri Lankan Share Market Returns

Author :W.G. S. Konarasinghe, N. R. Abeynayake, L.H.P.Gunaratne

Article Citation :W.G. S. Konarasinghe ,N. R. Abeynayake ,L.H.P.Gunaratne , (2016 ) " Spectral Analysis On Forecasting Sri Lankan Share Market Returns " , International Journal of Management and Applied Science (IJMAS) , pp. 25-27, Volume-2,Issue-1, Special Issue-1

Abstract : spectral analysis reveals that a wave can be generated by a packet of waves with different amplitudes and angular speeds. This concept is applied in the present study for modeling sri lankan stock returns, as they show wave like patterns. Daily share prices of random sample of six business sectors of colombo stock exchange (cse) were collected for the period year 1994- 2014.monthly returns were used for the data analysis, taking one third of each data set for model fitting and the rest for model verification. Time series plots were used to check whether data follows wave like patterns and auto correlation functions (acf) were used to test the stationary of series. Fourier transformation was used to transform a time series of returns (rt) into a series of trigonometric functions and multiple regression analysis was used to estimate the amplitudes of waves. Anova technique was used to test the significance of overall model and t- test was used to test the significance of regression coefficients. Model assumptions were tested by residual plots. Model assessment was based on mean square error (mse) and mean absolute deviation (mad). Based on the results it was concluded that fourier transformation along with multiple regression is suitable for forecasting sector returns of cse. However the tested method is successful only if the data series is stationary type. It is recommended to extend the method for non stationary series. Key words- Spectral analysis, Stationary series

Type : Research paper


Copyright: © Institute of Research and Journals

| PDF |
Viewed - 59
| Published on 2016-02-03
   
   
IRAJ Other Journals
IJMAS updates
IJMAS -THANK YOU ALL FOR CONTRIBUTING YOUR PAPER TO IJMAS JULY ISSUE.ALL AUTHORS ARE REQUESTED TO GET THEIR HARD COPY NOW.
The Conference World
Facebook

JOURNAL SUPPORTED BY