The Mauritius stock exchange: Sectoral analysis, risk and return

Abstract

Companies listed on the Mauritius Stock Exchange are classified into seven sectors of the economy, namely Banking & Insurance, Industry, Investments, Sugar,  Commerce, Leisure & Hotels and Transport. Significant improvements in market capitalisation and turnover are noted in all sectors except the Transport sector.  Liquidity in each sector remains fairly low, with the Banking & Insurance sector showing comparatively better liquidity. Steps taken to improve market liquidity are also reviewed. The monthly return for a sample of companies is investigated and found to be reasonably high but so is the standard deviation of return. Most  companies in the sample show betas that are statistically significant at the 5 per cent level. The correlation of return is also investigated and found to be highly  positive for the blue chip companies and for companies operating in the same sector.

Keywords: Mauritius Stock Exchange, Return, Standard Deviation, Beta Running Title: The Mauritius Stock Exchange