Analysing correlation between the MSE index and global stock markets

Reuben Ellul Dimech

MPRA Paper from University Library of Munich, Germany

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.

Keywords: MGARCH; DCC; correlation; financial in- tegration; stock indices; Malta stock exchange index (MSE) (search for similar items in EconPapers)
JEL-codes: C32 C51 C58 (search for similar items in EconPapers)
Date: 2015-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Xjenza Online - Journal of the Malta Chamber of Scientists 2.3(2015): pp. 105-114

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https://mpra.ub.uni-muenchen.de/72464/1/MPRA_paper_72464.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/76660/1/MPRA_paper_72464.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/76660/8/MPRA_paper_76660.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:72464

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