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

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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.
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Keywords: BINMA(1); GQL; intra-day; negative binomial; over-dispersion; stocks

Document Type: Research Article

Affiliations: 1: Department of Accounting and Finance, University of Technology Mauritius, Latour Koenig, Mauritius 2: Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius 3: Department of Mathematics, University of Mauritius, Reduit, Mauritius

Publication date: January 25, 2019

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