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| 1 |
ID:
120080
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| Publication |
2012.
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| Summary/Abstract |
This article examines as to whether past stock prices in the Colombo Securities Exchange (CSE) exhibit predictability of future prices by using various statistical tests for the period from 1985 to 2009 on daily data. The findings of various statistical tests generated mixed results. The results of tests on serial correlation, runs test, variance ratio test and tests on the day-of-the-week effect rejected the weak-form of Efficient Market Hypothesis, whereas Augmented Dickey-Fuller (ADF) test and Phillips Perron (PP) unit root tests as well as the month-of-the-year test failed to reject the presence of random walk. Findings of the ADF and PP test statistics implied that daily changes in stock prices cannot be predicted, so that no investor can earn abnormal profits by exploiting past stock price patterns. This indicates the presence of weak-form efficiency in CSE. However, the results of serial correlation tests, runs test and variance ratio test imply that prices of ASPI do not reflect past prices, indicating that future movements of the stock prices can be predicted by using past price movements. The idea that past price information can only partially predict the future movements of prices/returns indicates that other information is also vital in changing stock prices/returns. The article concludes that the weak-form inefficiency is the normal situation in the CSE.
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| 2 |
ID:
121330
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| Publication |
2013.
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| Summary/Abstract |
This study addresses a very significant policy issue not previously examined at a disaggregated level for Australia by identifying on which day(s) petrol is more expensive and in which locations discount days are non-existent. After conducting a time series analysis of the day of the week effect in retail prices of unleaded petrol in 114 locations across Australia (Jan 2005 to Apr 2012), it is observed that prices mostly peak on Thursday/Friday and then decline until they hit their cyclical trough mainly on Sunday/Tuesday. However, these daily differences are only statistically significant in capital cities or large regional centres. A cross-sectional analysis of the mean prices during the period Nov 2007 to Feb 2012 shows that (a) in remote and less populous locations, where sales are presumably limited and overhead costs are high, petrol is more expensive; (b) petrol generally costs more in places which exhibit less price variability. The disaggregated and location-specific results can increase our understanding of Australia's retail petrol market and can be beneficial to motorists as well as various government and non-government organisations such as the ACCC (Australian Competition and Consumer Commission), AAA (Australian Automobile Association) and FuelWatch.
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