Abstract:
This study examined the implications of stock market statistics on share price index, using
daily data for the period from 1/03/1994 to 9/28/2018 (5932 Observations) on the Colombo
Stock Exchange (CSE). The main objectives of the study were to assess the significant
relationship between stock market statistics and share price index and to investigate the co integration between the variables. The study adopted the ex-post facto research design. Daily
market capitalization, daily share traded, and daily turnover equity was used as the proxies for
the stock market statistics. Daily All Share Price Index (ASPI) was used as the proxy for the
stock price index. Augmented Dickey Fuller test was used to find out the stationery of the data
series, and the results of the test showed that ASPI data and stock market statistics were
stationary. The Granger Causality test was used to check any causal relationship between
variables revealed that, there is a one-way causal relationship between variables. The result of
the regression shown that daily market capitalization was found to be a significant positive
relationship with ASPI, daily share traded equity was found to be an insignificant relationship
with ASPI and daily turnover equity was found to be an insignificant relationship with ASPI.
In line with the findings of this study, it recommends that the CSE should build policies and
potential investors should make the strategies in terms of share trading volume to enhance the
stock market liquidity.
