Efficiency Analysis of the Moroccan Stock Market in Line with the Adaptive Market Hypothesis
(Pages 123-129)EL Amri Youness1,* and Kabak Saad2
1Doctor in economics and management, Research and Study laboratory in Management, Entrepreneurship and Finance; Sidimohamed Ben Abdellah University; Fez; Morocco.
2Professor at the Multidisciplinary Faculty of Errachidia, Moulay Ismaïl University, Research and Study laboratory in Management, Entrepreneurship and Finance; Sidimohamed Ben Abdellah University; Fez; Morocco.
DOI: https://doi.org/10.55365/1923.x2024.22.14
Abstract:
The objective of the study is to examine the evolution of the efficiency of the Moroccan stock market and to verify if this evolution follows the trajectory of the adaptive market hypothesis. By using the Diebold-Mariano test applied to the returns of the MASI stock price, from 03/01/2002 to 24/01/2022. The empirical results show that the predominance of inefficiency in the Moroccan stock market along the period of study except for some years when the Moroccan stock market was efficient. This confirms that the adaptive market hypothesis is coherent with the Moroccan market.
Keywords:
efficiency hypothesis, Diebold-Mariano test, Morocco, stock market. ARIMA model, Random walk.
JEL classifications:
G1, G14, G15, F3, F37, C13.
How to Cite:
EL Amri Youness and Kabak Saad. Efficiency Analysis of the Moroccan Stock Market in Line with the Adaptive Market Hypothesis. [ref]: vol.22.2024. available at: https://refpress.org/ref-vol22-a14/
Licensee REF Press This is an open access article licensed under the terms of the Creative Commons Attribution Non-Commercial License (http://creativecommons.org/licenses/by-nc/3.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, provided the work is properly cited.