Browsing by Author "Perera, SD"

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item: Conference-Full-text
Comparison of the behavior of markowitz model across three broad indices under different market conditions
(2023-12-04) Fernando, DNN; Perera, WADAU; Perera, SMH; Sumaiya, AMN; Perera, SD
The Markowitz model, introduced by Harry Markowitz in 1952, forms the basis of Modern Portfolio Theory and provides a mathematical framework for investors to create well-diversified portfolios by balancing risk and return. This research investigates the performance of the Markowitz model across three major indices: Nifty 50 of India, PSEi composite of the Philippines, and Straits Times Index of Singapore, under different market conditions in different time regimes. The study covers a 15-year period starting from 2007, encompassing the global financial crisis and the COVID-19 pandemic. From each index, 20 stocks were selected based on their market capitalization. Through the application of the Markowitz mean-variance model, optimal portfolio weights were derived for different time regimes within each country. These trial period optimal weights were then applied to subsequent simulation periods for comparative analysis with the Market Capitalization Weighted Portfolio, serving as the benchmark. Performance assessments were based on the Sharpe ratio and Information ratio. Results revealed that the Markowitz model’s varied performance across market conditions in India and the Philippines whereas, in Singapore, it constantly well-performed despite the market condition due to the country’s relative stability than India and Philippines. These results suggested that the effectiveness of the model relies on the stability challenges that emerge in volatile and uncertain periods when the country is relatively unstable.
item: Conference-Full-text
Detecting possible outliers in the Colombo stock exchange
(Business Research Unit (BRU), 2023-12-04) Bandaranayake, BMEP; Perera, MKPL; Lakmini, WR; Nageswaran, N; Perera, SD; Gunawardana, A; Perera, NA
Insider trading poses a significant challenge for stock markets, including the Colombo Stock Exchange, as it undermines investor confidence. The purpose of this study is to develop an innovative methodology that can effectively identify and flag suspicious transactions and investors. The proposed approach considers a multitude of parameters that influence the behavior of insider traders, which have been overlooked in current detection methods. This method mainly focuses on assessing the change in the trading behavior of investors in relation to price-sensitive corporate events compared to their past behavior and the behavior of peer investors. As an initiation, we used trade data for the year 2016- 2021 and identified potential suspicious investors and transactions. By utilizing this approach, we seek to enhance the effectiveness of identifying insider trading and mitigate its adverse effects on the market.
item: Conference-Full-text
The Impact of monetary policy on inflation and production: a comparative study on Sri Lanka, India, and the USA
(Business Research Unit (BRU), 2024) Karunarathna, KK; de Silva, TS; Perera, SD
Monetary policy is a critical tool used by the Central banks to stabilize inflation and foster economic growth. Over the past few years, the Sri Lankan economy faced significant economic challenges, such as economic downturn, and rising inflation. This led the Central Bank of Sri Lanka to execute various monetary policy changes to stabilize the economy. This study examines the effects of monetary policy transmission mechanisms (MTM) on production and inflation in the USA, India, and Sri Lanka, using monthly data from 1980 to 2023, to provide a comparative understanding of how monetary policy adjustments influence each of these economies. The analysis employs the Vector Error Correction Model (VECM) to understand the short-term and long-term effects of monetary policy adjustments on Gross Domestic Production (GDP) and the Consumer Price Index (CPI). The results of this study indicate major differences in the magnitude and timing of the policy implementation and its effects across the three economies: where the USA economy indicates quicker adjustments to monetary policy changes, which reflects their advanced financial infrastructure. In contrast, India and Sri Lanka demonstrate delayed responses, suggesting inefficiencies in their policy transmission mechanisms. In addition to this, the results also indicated that in the USA, interest rates and money supply have predictive power over both CPI and GDP. This implies that policymakers can use these channels to manage inflation and economic growth. In India, none of the independent variables showed a correlation between CPI and GDP, while in Sri Lanka, domestic credit to the private sector and money supply significantly impacts GDP and CPI. These results imply that it is vital to have tailored monetary policies for each economy considering their unique structural and temporal characteristics. For the USA, the results affirm the effectiveness of its current policy framework, while India and Sri Lanka may require enhanced policy strategies to improve transmission efficiency.