Asset price dynamics and trading in Casablanca stock exchange
Dissertant
Thesis advisor
Sharafi, Abd al-Latif
Abrashi, Jawad
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2015
English Abstract
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.
Main Subjects
No. of Pages
85
Table of Contents
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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Language
English
Data Type
Arab Theses
Record ID
BIM-626298
