Editorial Note

Abstract not availableThe Kelaniya Journal of Management  Vol. 3(1); 2014:iii</p

PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN THE COLOMBO STOCK EXCHANGE (CSE)

This paper examines the profi tability of momentum and contrarian strategies in the Colombo Stock Exchange (CSE) around 1 to 12 months horizon covering the period from October 1991 to June 2005. We follow the same methodology of Jegadeesh and Titman (1993). The study fi nds that momentum strategies are highly profi table in the CSE. Examining between pre-and post-automation periods of the CSE, we fi nd evidence that momentum strategies are signifi cantly more profi table during post-automation period.Keywords: Momentum Strategies, Contrarian Strategies, Colombo Stock ExchangeFor full paper: [email protected]

Investor emotional biases and trading volume’s asymmetric response: A non-linear ARDL approach tested in S&P500 stock market

This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive distributed lag (NARDL) model is used to capture the long-term and short-term non-linear connections between the investor sentiment and the stock market liquidity. Empirical findings suggested an asymmetric long-term market liquidity reaction to investor sentiment. In the short-term, the stock market liquidity react rapidly and asymmetrically to changes in overconfidence sentiment, while the optimism and pessimism sentiment has insignificant short-term impact on trading volume