Does inflation rate impact the stock market returns volatility ? : evidence from Morocco
Dissertant
Thesis advisor
Lahrash, Abd al-Munim
Abd al-Wahhab, Sami
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2014
English Abstract
The aim of this paper is to study the relation between stock return volatility and inflation in Morocco using monthly time series data of MASI index and fifteen sectors listed in Casablanca Stock Exchange.
The monthly data were extracted from DATASTREAM database form January 2002 to February 2014.
This paper applies the most fitted model of ARCH family models to estimate stock return volatility.
Through comparing the Akaike Information Criteria (AIC), we can select the fitted model to estimate stock return volatility.
The lower value AIC, the better model fitted.
Then, using both simple and multiple regression analysis, we can find out the relation between stock return volatility.
Results show a positive relation between inflation and return volatility of those indices: MASI Index, Banks, Construction & Building Materials, Distributors, Investment Companies & Other Finance and Mining.
Results indicate also a negative linkage between inflation and return volatility of these sectors: Beverages, Chemicals, Electrical & Electronic Equipment, Real Estate, Food producers & Processors, Holdings Companies, Insurance, Oil and Gas, Software & Computer Services and Transport.
Main Subjects
Financial and Accounting Sciences
Topics
No. of Pages
105
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : A review of theoretical and empirical literature.
Chapter Three : Casablanca stock exchange.
Chapter Four : Inflation rate in Morocco.
Chapter Five : Data and methodology.
Chapter Six : Results and discussion.
Chapter Seven : Limitations.
Chapter Eight : Implications.
Chapter Nine : Conclusion.
References.
American Psychological Association (APA)
Rida, al-Ahmadi Med. (2014). Does inflation rate impact the stock market returns volatility ? : evidence from Morocco. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626636
Modern Language Association (MLA)
Rida, al-Ahmadi Med. Does inflation rate impact the stock market returns volatility ? : evidence from Morocco. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2014).
https://search.emarefa.net/detail/BIM-626636
American Medical Association (AMA)
Rida, al-Ahmadi Med. (2014). Does inflation rate impact the stock market returns volatility ? : evidence from Morocco. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626636
Language
English
Data Type
Arab Theses
Record ID
BIM-626636
