A case study of MCB and SBMH stock transaction using a novel BINMA(1) with non-stationary NB correlated innovations

Yuvraj Sunecher, Naushad Mamode Khan and Vandna Jowaheer

Journal of Applied Statistics, 2019, vol. 46, issue 2, 304-323

Abstract: This paper focuses on the modeling of the intra-day transactions at the Stock Exchange Mauritius (SEM) of the two major banking companies: Mauritius Commercial Bank Group Limited (MCB) and State Bank of Mauritius Holdings Ltd (SBMH) in Mauritius using a flexible non-stationary bivariate integer-valued moving average of order 1 (BINMA(1)) process with negative binomial (NB) innovations that may cater for different levels of over-dispersion. The generalized quasi-likelihood (GQL) approach is used to estimate the regression, dependence and over-dispersion effects. However, for the over-dispersion parameters, the auto-covariance structure in the GQL is constructed using some higher order moments. This new model is tested over some Monte-Carlo experiments and is applied to analyze the inter-related intra-day series of volume of stocks for the two banking institutions using data collected from 3 August to 16 October 2015 in the presence of some time-varying covariates such as the news effect, Friday effect and time of the day effect.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:46:y:2019:i:2:p:304-323

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DOI: 10.1080/02664763.2018.1477927

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