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- W4310360167 abstract "This research work aims at studying the weak form of informational efficiency of the Moroccan stock market developed by Fama. We apply classical econometric tests to this end. Many studies have focused on the presence of non-linearity or long memory in the return series. In this paper, we propose to study these phenomena through the development of an ARFIMA process as suggested by Granger and Joyeux (1980) and Hosking (1981). We used the MASI composite index and our results provide solid proof that does not support the efficiency hypothesis of the Moroccan stock market and the ARFIMA process shows that the MASI series is characterized by a long memory structure." @default.
- W4310360167 created "2022-12-09" @default.
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- W4310360167 date "2022-11-29" @default.
- W4310360167 modified "2023-10-04" @default.
- W4310360167 title "The weak form efficiency of the stock market : The Case of moroccan market" @default.
- W4310360167 doi "https://doi.org/10.55897/ijpo.2022.02.15" @default.
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