Asset price dynamics and trading in Casablanca stock exchange

مقدم أطروحة جامعية

Chlyah, Jihane

مشرف أطروحة جامعية

Sharafi, Abd al-Latif
Abrashi, Jawad

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2015

الملخص الإنجليزي

The present study aims to assess the performance of a trading strategy based on the prediction of stock price dynamics at the Casablanca Stock Exchange (CSE).

It is based on 10 years stock prices from 09/24/2004 to 09/25/2014.

The study consists first of studying the dynamics of stock prices at CSE, then identifying the adequate time series models (ARIMA/GARCH) to predict their behavior in the future.

Following that, a trading strategy based on the forecasts of returns is implemented and its performance assessed in comparison to the market (MASI and MADEX indexes).

The results of the study show that the stylized facts of returns apply in the case of CSE stocks returns and that there is a set of ARMA/GARCH models that can be used to capture the dynamics of the stocks returns.

The study also reveals that the trading strategy adopted is not adequate for the CSE and that its performance is very poor compared to the market.

This finding provides some insights regarding the choice of the trading strategy to consider for future research.

التخصصات الرئيسية

إدارة الأعمال

عدد الصفحات

85

قائمة المحتويات

Table of contents.

Abstract.

Chapter One : Introduction.

Chapter Two : Modeling concepts.

Chapter Three : Modeling applications.

Chapter Four : Trading strategies.

Chapter Five : Methodology.

Chapter Six : Stock price dynamics at CSE.

Chapter Seven : Trading at CSE.

Chapter Eight : Conclusions.

Chapter Nine : Limitations and future research.

References.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Chlyah, Jihane. (2015). Asset price dynamics and trading in Casablanca stock exchange. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626298

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Chlyah, Jihane. Asset price dynamics and trading in Casablanca stock exchange. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2015).
https://search.emarefa.net/detail/BIM-626298

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Chlyah, Jihane. (2015). Asset price dynamics and trading in Casablanca stock exchange. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626298

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-626298