Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/8328| Title: | Analysing correlation between the MSE index and global stock markets |
| Authors: | Ellul, Reuben |
| Keywords: | International finance Banks and banking Stock price indexes -- Malta Stock exchanges -- Malta Malta Stock Exchange (Valletta, Malta) |
| Issue Date: | 2015-12 |
| Publisher: | Malta Chamber of Scientists |
| Citation: | Xjenza. 2015, Vol.3(2), p. 174-182 |
| Abstract: | The paper investigates the time-varying correlation between the Malta Stock Exchange (MSE) index, and five major international stock markets. An MGARCH-DCC approach is employed to measure the degree to which the MSE moves with other stock markets. Daily returns on these six stock exchange indices were computed and used to calculate dynamic conditional correlations (DCCs) between the markets. The results indicate that the local stock market appears not to be driven by the same forces that shape foreign stock markets, implying that local dynamics shape returns on the Exchange, rather than foreign events. |
| URI: | https://www.um.edu.mt/library/oar//handle/123456789/8328 |
| Appears in Collections: | Xjenza, 2015, Volume 3, Issue 2 Xjenza, 2015, Volume 3, Issue 2 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Analysing correlation between the MSE index and global stock markets.pdf | 1.17 MB | Adobe PDF | View/Open |
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