The aim of this paper is to examine whether the Capital Asset Pricing Model (CAPM) is able to explain the stock returns in the Mauritian stock market. The sample in the present study consists of all securities listed on the official market of the Stock Exchange of Mauritius (SEM). Using data...

This paper attempts to examine the day of the week effects on the Development and Enterprise market (DEM) on the Stock Exchange of Mauritius. Using observations as from the year the DEM started its operation, i.e 2006 to 2009, the study reveals the presence of a Friday effect. The returns are...

This paper attempts to examine the day of the week effects on the Development and Enterprise market (DEM) on the Stock Exchange of Mauritius. Using observations as from the year the DEM started its operation, i.e 2006 to 2009, the study reveals the presence of a Friday effect. The returns are...

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...

This paper provides an analysis of return distribution properties in the presence of non-normality of returns. Using secondary data, the study examines the behavior of returns in the emerging African Stock Exchanges, such as Botswana, Ghana, Mauritius, Nigeria and South Africa for the period...