Analysing correlation between the MSE index and global stock markets

Ellul, Reuben (2015): Analysing correlation between the MSE index and global stock markets. Published in: Xjenza Online - Journal of the Malta Chamber of Scientists , Vol. 3, No. 2 (December 2015): pp. 105-114.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: MGARCH, DCC, correlation, financial in- tegration, stock indices, Malta stock exchange index (MSE)
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics

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