اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من2007 إلى 2011

Abstract EN

The study aims to test whether the return series of Casablanca Stock exchange index are independent of each other and tracking a random walk.

We use model to estimate the extent of the return series index deviation for efficiency at weak level through the predictability test of the returns in short-term.

Our sample consists of about 87 daily historical observations of Casablanca Stock exchange index closing price during the period (2007- 2011).

We have found that the proposed model is better than the random walk model in terms of predictive quality, and the returns of Casablanca Stock exchange index is predictable in the shortterm and the price movements appear as a result of transient exogenous shock, therefore the market is not considered efficient at weak level.