Discrete-stochastic based liquidity risk management in the Moroccan stock market
Dissertant
Thesis advisor
Sharafi, Abd al-Latif
Alawi, Abd al-Hamid Hamidi
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2013
English Abstract
In this study we try to predict liquidity states for ten listed Moroccan companies using discrete stochastic historical values.
The purpose of the study is to help in managing liquidity risk by predicting future liquidity states.
The model measures liquidity using duration and uses Markov chains to generate probabilities based on five states of liquidity.
Predictions are done through two forecasting methods, the rolling horizon method and the fixed horizon method.
The study shows that the rolling horizon method is the best to predict for long horizons, while the fixed horizon method gives better results for short term horizons.
We conclude also that the forecast accuracy depend on how liquid is the stock and how it fluctuates over time.
Main Subjects
Business Administration
Financial and Accounting Sciences
Topics
No. of Pages
64
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction and study scope.
Chapter Two : Literature review.
Chapter Three : Methodology.
Chapter Four : Results.
Chapter Five : Conclusion and findings.
Chapter Six : Recommendations.
References.
American Psychological Association (APA)
al-Bergui, Uthmani. (2013). Discrete-stochastic based liquidity risk management in the Moroccan stock market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626708
Modern Language Association (MLA)
al-Bergui, Uthmani. Discrete-stochastic based liquidity risk management in the Moroccan stock market. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2013).
https://search.emarefa.net/detail/BIM-626708
American Medical Association (AMA)
al-Bergui, Uthmani. (2013). Discrete-stochastic based liquidity risk management in the Moroccan stock market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626708
Language
English
Data Type
Arab Theses
Record ID
BIM-626708
