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Unformatted text preview: Electronic copy available at: http://ssrn.com/abstract=1729822 1 “ A Value-At-Risk Review of the Major Stock Market Indices in Mauritius” By: Jamsheed Ali Khadaroo Assistant Executive, Financial Services Commission 1 Chartered MCSI, MCMI, ICFA, IFQ, MBA, MSc, BSc (Hons) Introduction This paper reviews the trends of the major stock market indices in Mauritius. The period of the analysis spans from the year 2000 to 2010. The data for both the Official and the Development and Enterprise Markets, which are operated for the time being by one of the licensed securities exchanges in Mauritius (namely the Stock Exchange of Mauritius Ltd) have been used for the purposes of this empirical research study. Stock Market Overview The Stock Exchange of Mauritius Ltd (SEM) currently administers the only organised trading platform for securities in Mauritius, although the non-banking financial regulator, ie. the Financial Services Commission, has registered interests from new promoters to establish additional trading infrastructure in other commodities and futures derivatives products. The SEM was initially established in 1989 as a private limited company and was authorised under the repealed Stock Exchange Act of 1988 [now replaced by the Securities Act of 2005 (as amended)]. 1 The views in this paper are solely those of the author and should not be attributed to the Financial Services Commission. Electronic copy available at: http://ssrn.com/abstract=1729822 2 Originally, trading on the stock market in Mauritius was restricted to equity products and was carried out through open-bidding processes in an over-the- counter environment. In 1989, the market counted only five listed companies and ten stock broking firms. Gradually, the trading infrastructure, as well as the systems and procedures for the depository, clearing and settlement of securities have been upgraded to reflect the growing needs of the investors and other market participants, both locally and overseas. The Central Depository System (CDS) was accordingly established in 1997 in order to provide for a faster and more reliable clearing and settlement system. Additionally, the SEM’s Automated Trading System (SEMATS) was launched in 2001. The SEMATS is one of the seven systems which trade automatically in Africa. In 2003, trading of treasury bills became possible for investors. Since 2005, the SEM has been successfully admitted as an active member of the World Federation of Exchanges. At present, the SEM’s stock market principally comprises of two markets: the Official Market and the Development and Enterprise Market. There are 37 companies listed on the Official Market and around 48 companies are quoted in the Development and Enterprise Market. As at 29 October 2010, the total market capitalisation and market turnover of companies listed on the Official Market were around $ 5,489 million and $ 1.542 million respectively. There are also around 12 investment dealers (of different grades or categories) which operate in...
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- Spring '11
- stock market indices