Accuracy of forecasting the direction of the rate of return of different trading strategies : case of the Moroccan stock market

Dissertant

Ouachikh, Nailah

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

This study used three trading strategies to forecast the direction of the rate of return of the MASI and 35 other companies listed in the Casablanca Stock Exchange.

We used daily data in our forecast for the period from the beginning of 2007 to the 27 of September 2013.

For the companies representing a split of their shares, the adjusted closing prices were used instead of the closing prices.

Our objective was to test which one of the three models gives the most accurate forecast: ARMA-GARCH, the feedback trading or the smart money investors’ strategy using Sharpe ratio.

For the strategy using ARMA-GARCH, both MS Excel Visual Basic Application (VBA) and R codes were used to forecast.

We find that the ARMA-GARCH is the model that gave the most accurate forecast.

The positive feedback trading strategy gave better forecast in case of consistency of the movement of the rate of return.

The negative feedback trading was better for companies for which were the sign of the rate of return fluctuates frequently.

Keywords: forecasting, ARMA-GARCH, the feedback trading, Sharpe ratio, directional forecasting, Casablanca Stock Exchange.

Main Subjects

Financial and Accounting Sciences

Topics

• Case studies
• Morocco

No. of Pages

75

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-628975