Can positive feedback traders and trend chasers beat the CSE? Can positive feedback traders and trend chasers beat the CSE ?
Dissertant
Thesis advisor
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2011
English Abstract
This study investigates the presence of positive feedback trading in the Casablanca stock exchange and measures the profitability and the effectiveness of selected herding strategies.
The MADEX returns from 2004 to 2010 are analyzed, modeled, and forecasted for that purpose using linear autoregressive models, GARCH processes, and E-GARCH processes.
Relying on the Sentana and Wadhwani’s positive feedback model, this study explores the link between feedback trading, serial autocorrelations, and volatility.
The study presents supporting evidence on the persistence of serial autocorrelations in the index returns suggesting the prevailing influence of feedback trading activity on return dynamics.
The signaling-based simulation results reveal that herd trading dominates the simple buy and hold strategy and the smart money investors’ strategy both on daily and weekly bases.
The results also unveil the impact of the day of trade effect on weekly trading outcomes, volatilities, and Sharpe ratios.
Main Subjects
Financial and Accounting Sciences
Topics
No. of Pages
74
Table of Contents
Table of contents.
Abstract.
Introduction.
Chapter One : Theoretical background, motivation, and purpose.
Chapter Two : Literature review.
Chapter Three : The positive feedback trading model.
Chapter Four : Data analysis and modeling.
Chapter Five : Strategy testing and empirical results.
Chapter Six : Findings and conclusion.
References.
American Psychological Association (APA)
Achkir, Maryam. (2011). Can positive feedback traders and trend chasers beat the CSE? Can positive feedback traders and trend chasers beat the CSE ?. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-624715
Modern Language Association (MLA)
Achkir, Maryam. Can positive feedback traders and trend chasers beat the CSE? Can positive feedback traders and trend chasers beat the CSE ?. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2011).
https://search.emarefa.net/detail/BIM-624715
American Medical Association (AMA)
Achkir, Maryam. (2011). Can positive feedback traders and trend chasers beat the CSE? Can positive feedback traders and trend chasers beat the CSE ?. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-624715
Language
English
Data Type
Arab Theses
Record ID
BIM-624715
