Title: Value-weighted price return index for plantation sector of Colombo Stock Exchange of Sri Lanka

Authors: B.T. Katangodage; A.W. Wijeratne

Addresses: Department of Agribusiness Management, Faculty of Agricultural Sciences, Sabaragamuwa University of Sri Lanka, Belihuloya 70140, Sri Lanka ' Department of Agribusiness Management, Faculty of Agricultural Sciences, Sabaragamuwa University of Sri Lanka, Belihuloya 70140, Sri Lanka

Abstract: Plantation sector plays a vital role in Colombo Stock Exchange (CSE) in Sri Lanka. This study constructed a Plantation Sector Index (PSI) for comparing the performance of the sector during war and post-war periods. Results indicated a significant decline in PSI during war period and a growth in post-war period. Further, the comparison of PSI with All Share Price Index (ASPI) of CSE showed PSI's defensive stock behaviour during the two periods. Finally, the study employed best-fitted ARIMA (1,1,0) model and seasonal ARIMA (0,1,1) × (0,1,1)30 model of post-war period to forecast PSI compared to Holt-Winters method. Holt-Winters method provided a significantly best prediction for PSI during post-war period with the level (α = 0.2), trend (β = 0.2) and the seasonal (γ = 0.2) components under 95% confidence interval. Therefore, PSI would be recommended for financial analyses, and investment decision making in plantation sector.

Keywords: CSE; Colombo Stock Exchange; plantation sector index; ASPI; all share price index; ARIMA; autoregressive integrated moving average; Holt-Winters method; value weighting; price returns index; Sri Lanka; financial analysis; investment decision making; stock markets.

DOI: 10.1504/IJARGE.2016.074678

International Journal of Agricultural Resources, Governance and Ecology, 2016 Vol.12 No.1, pp.27 - 52

Available online: 11 Feb 2016 *

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