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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.
Appears in Collections:Xjenza, 2015, Volume 3, Issue 2
Xjenza, 2015, Volume 3, Issue 2

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