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- W1572981567 abstract "This paper has investigated the stock market trends in Mauritius, from a risk perspective. The analysis was based on the widely accepted Value-At-Risk (VAR) methodology. Amongst the key findings of this review, it is essentially noted that the index which portrays the return for blue chip companies, ie. the SEM-7, has demonstrated a tendency to be more responsive to downside risks in the market, compared with the other indices under scrutiny. This finding is rather unusual or unexpected as blue chip companies normally tend to be associated with relatively more stable and sound returns. However, this may represent a call for a re-examination of the basis and frequency on which the SEM-7’s basket of securities is actually constituted and also, a possible signal for a more profound examination of the local stock market microstructure, as a whole, by the SEM." @default.
- W1572981567 created "2016-06-24" @default.
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- W1572981567 date "2010-01-01" @default.
- W1572981567 modified "2023-09-26" @default.
- W1572981567 title "A Value-at-Risk Review of the Major Stock Market Indices in Mauritius" @default.
- W1572981567 doi "https://doi.org/10.2139/ssrn.1729822" @default.
- W1572981567 hasPublicationYear "2010" @default.
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