IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v46y2019i2p304-323.html
   My bibliography  Save this article

A case study of MCB and SBMH stock transaction using a novel BINMA(1) with non-stationary NB correlated innovations

Author

Listed:
  • Yuvraj Sunecher
  • Naushad Mamode Khan
  • Vandna Jowaheer

Abstract

This paper focuses on the modeling of the intra-day transactions at the Stock Exchange Mauritius (SEM) of the two major banking companies: Mauritius Commercial Bank Group Limited (MCB) and State Bank of Mauritius Holdings Ltd (SBMH) in Mauritius using a flexible non-stationary bivariate integer-valued moving average of order 1 (BINMA(1)) process with negative binomial (NB) innovations that may cater for different levels of over-dispersion. The generalized quasi-likelihood (GQL) approach is used to estimate the regression, dependence and over-dispersion effects. However, for the over-dispersion parameters, the auto-covariance structure in the GQL is constructed using some higher order moments. This new model is tested over some Monte-Carlo experiments and is applied to analyze the inter-related intra-day series of volume of stocks for the two banking institutions using data collected from 3 August to 16 October 2015 in the presence of some time-varying covariates such as the news effect, Friday effect and time of the day effect.

Suggested Citation

  • Yuvraj Sunecher & Naushad Mamode Khan & Vandna Jowaheer, 2019. "A case study of MCB and SBMH stock transaction using a novel BINMA(1) with non-stationary NB correlated innovations," Journal of Applied Statistics, Taylor & Francis Journals, vol. 46(2), pages 304-323, January.
    • Handle: RePEc:taf:japsta:v:46:y:2019:i:2:p:304-323
    DOI: 10.1080/02664763.2018.1477927
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02664763.2018.1477927
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02664763.2018.1477927?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:46:y:2019:i:2:p:304-323. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.