Abstract:
Considering the historical data, we can conclude that news on attacks, international
political problems, natural disasters, and protests have a negative impact on the stock
market return while changes in Government Acts and Election period have a positive
impact on stock market return. Further, Monetary & Fiscal policy changes and news on
major investments have a neutral impact on the return.
The significance of the news has been tested using the t-distribution method. It
concludes that Monetary & Fiscal policy changes and news on major investments don't
have a significant impact on index returns while other selected events have a significant
impact on the index returns.
By applying the Black-Litterman model together with hypothetical views, one can
develop a P matrix to derive/ predict the return of the index movement. Therefore, an
investor/analyst can consider the significance level of the news items (t-distribution
results) and the type of impact (negative/positive) when assigning numbers and views
for the P matrix.
Citation:
Perera, P.R.S..G. (2022). Analyzing & predicting the impact of news on the ASI return of Colombo stock exchange through black-litterman mode [Master's theses, University of Moratuwa]. Institutional Repository University of Moratuwa.lhttp://dhttp://dl.lib.uom.lk/handle/123/22499