The effect of Moroccan fundamentals on the Moroccan stock market

Dissertant

Jamai, Fatimah Zahra

Thesis advisor

Lahrash, Abd al-Munim

University

Al Akhawayn University

Faculty

The School of Business Administration

University Country

Morocco

Degree

Master

Degree Date

2012

English Abstract

This paper examines the impact of a set of Moroccan macroeconomic variables such as consumer price index CPI, money supply M2, real effective exchange rate REXR, and short term interest rate ST-IR on the Moroccan stock price index SPI measured by Bloomberg using monthly data from December 2001 till the end of 2010.

In order to analyze the long run relationship between Morocco stock price index SPI and the Moroccan macroeconomic variables, we use the multivariate cointegration test developed by Johansen (1988, 1991) and Johansen and Juselius (1990).

The cointegration test indicates the existence of 2 cointegrating vectors at 99% confidence.

That is, there are two linearly independent combinations of the individual non-stationary variables that are stationary.

Moreover, the impulse response function using vector error correction model VECM shows that SPI responds positively to shocks in CPI and M2, and negatively to shocks in REXR and ST-IR.

Results from 20-monthahead forecast error variance show that about 34% of the variation in SPI is explained by its own shocks and about 29% is explained by movements in CPI.

Granger causality developed by Granger (1969) shows the existence of bidirectional causality between SPI and REXR and a unidirectional causality between CPI and SPI from CPI to SPI

Main Subjects

Business Administration

No. of Pages

36

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-628278