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THE STOCK EXCHANGE OF MAURITIUS: A STUDY OF SEGMENTATION VERSUS INTEGRATION AT THE REGIONAL AND GLOBAL LEVEL

Nishta M. Suntah1 and Robert D. Brooks

Monash University, Australia.

ABSTRACT

The present research investigates the Stock Exchange of Mauritius and whether there is enough evidence to conclude that the market is segmented or integrated both at the regional level and at the global level. The methodology employed is the Jorion and Schwartz (1986) Capital Asset Pricing Model for testing the polar case of segmentation versus integration. Further, due to the low level of market activity observed on the Stock Exchange of Mauritius, the Dimson (1979) beta coefficients were also included to adjust for thin trading. Implementing the testing procedure leads to inconclusive results. More than half of the test outcomes were conflicting, with three of the twelve pair-wise tests rejecting the null hypotheses while four of the tests fail to reject the null hypotheses.

JEL Classification: C32, E32