Multiple regression approach to fit suitable model for all share price index with other important related factors

Abstract

This study investigates the effects of some important sectors indices such as: Bank Finance & Insurance, Manufacturing, Trading, Hotels & Travels and Services on All Share Price Index (ASPI) in emerging Sri Lankan stock market using monthly data for the period from January 2005 to December 2014. It is aimed to find a suitable multiple regression model for Bank Finance & Insurance, Manufacturing, Trading, Hotels & Travels and Services on ASPI. In this paper, multiple linear regression model, multiple log linear model and multiple first difference of log linear models are analyzed using appropriate statistical tests. The first difference of log linear model is more appropriate to fit ASPI and other important related factors.