Abstract:
There is considerable quantitative research on stock market volatility
internationally, but little on SriLanka‟s emerging stock markets. Using Colombo
Stock Exchange ASPI return data, this paper investigates the index price variability
mechanism in different time horizons using Realized volatility as a tool. The paper
also considers S&P CNX Nifty Index of National Stock Exchange, India for
computing the Index returns variability during 2005-2009 and then investigates
whether any analogous asymmetric characteristic is reflected in the two emerging
markets. We find no significant asymmetry in the volatility proportions computed in
different time horizon on either of the considered emerging markets as compared to a
common finding for developed stock markets that exhibits a larger return volatility
due to negative shock entering the market.
