Ushad, Subadar Agathee - In: Applied Economics Letters 16 (2009) 5, pp. 545-548
This article investigates the effects of any seasonality on stock market returns and volatility on the Stock Exchange of Mauritius. A standard GARCH model was used on daily SEMDEX returns from 1998 to 2006. The results obtained indicate that the return series are leptokurtic, indicating a higher...