Seasonality, returns and volatility on the Stock Exchange of Mauritius

摘要

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 peak and a thicker tail than a normal distribution. Also, the mean returns on Fridays seem to be the highest while average returns on Mondays turn out to be insignificant. Finally, significant effects of weekdays were found on the conditional variance on the stock returns.