Test of Weak Efficiency on Casablanca Stock Market, Chaotic Dynamic and Long Memory

Test of Weak Efficiency on Casablanca Stock Market, Chaotic Dynamic and Long Memory

El Mehdi Falloul

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Test of Weak Efficiency on Casablanca Stock Market, Chaotic Dynamic and Long Memory

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Abstract

This paper aim to investigate the weak form efficiency of the Casablanca Moroccan stock market. After a brief explanation of the efficient market theory developped by Eygene Fama, we have made the whole classical econometric tests used to test the weak form efficiency, this is made by using MASI index that represents the whole stocks in Casablanca stock market. At the end of this study, we have rejected the hypothesis of efficience of Casablanca Stock market, and we have deduced that MASI is caracterised aby a choatic dynamic that we have cvalidated by calculation of Lyapunov exponent, finally and in order to judge the model that represent the MASI we have modeled MASI index using the process ARFIMA (p,dq) and we have deduced that MASI is caracterized by a long memory.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

How to Cite This Article

El Mehdi Falloul. 2020. \u201cTest of Weak Efficiency on Casablanca Stock Market, Chaotic Dynamic and Long Memory\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 20 (GJMBR Volume 20 Issue B3): .

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GJMBR Volume 20 Issue B3
Pg. 27- 41

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-B Classification: JEL Code: O11

Submission ReceivedNovember 5, 2020
Peer Review Double Blind
Handling Editor
Accepted December 3, 2020
Published December 15, 2020

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v1.2

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March 19, 2020

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