Date Added: Oct 2010
The present research investigates the Stock Exchange of Mauritius and whether there is enough evidence to conclude that the market is segmented or integrated both at the regional level and at the global level. The methodology employed is the Jorion and Schwartz (1986) Capital Asset Pricing Model for testing the polar case of segmentation versus integration. Further, due to the low level of market activity observed on the Stock Exchange of Mauritius, the Dimson (1979) beta coefficients were also included to adjust for thin trading. Implementing the testing procedure leads to inconclusive results.