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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.
El Mehdi Falloul. 2020. "Test of Weak Efficiency on Casablanca Stock Market, Chaotic Dynamic and Long Memory". Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 20 (GJMBR Volume 20 Issue B3).
Crossref Journal DOI 10.17406/GJMBR
Print ISSN 0975-5853
e-ISSN 2249-4588
v1.2
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Total Score: 168
Country: Morocco
Subject: Global Journal of Management and Business Research
Authors: El Mehdi Falloul (PhD/Dr. count: 0)
View Count (all-time): 291
Total Views (Real + Logic): 602
Total Downloads (simulated): 34
Publish Date: 2020 12, Tue
Monthly Totals (Real + Logic):
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