Liquidity and volatility are the two barometers that allow stock markets to appreciate in terms of attractiveness, profitability and efficiency. Several macroeconomic and microstructure variables condition the level of liquidity that directly impact the asset allocation decisions of different investor profiles − institutional and individuals − and therefore the dynamics of the market as a whole. Volatility is the regulatory component that provides information on the level of risk that characterizes the market. Thus, the appreciation of these two elements is of considerable help to fund managers looking to optimize their equity pockets. In this work, we will use the liquidity ratio as a proxy variable for the liquidity of the Moroccan stock market, to estimate the indicators and factors that determine its short- and long-term variability. The appropriate econometric method would be to estimate an error correction vector model (ECVM) which has the property of determining the long- and short-term relationships between the variables. The volatility of the MASI index will be the subject of a second estimate to capture the shape of the function of its evolution.
Institutional investors normally define the market segments that present more opportunities for profitability based on their commitments, their financial and accounting situations and the regulations that govern the structure of their investments in equities, bonds, real estate and infrastructure. Their investment strategies consist of defining the allocation of their assets after having fixed the proportion to be invested in each segment. We will try through this work to estimate and optimize the parts of assets invested in shares of pension funds, insurance companies and UCITS (Undertakings for Collective Investments in Transferable Securities), according to their degree of integration into the Moroccan economy, weight of their assets in market capitalization and by the heterogeneity that characterizes their investment decisions on the capital market. Panel data are well suited to our analysis in the sense that they allow us to measure the impact of several actions (stimuli), alone or simultaneously, and the synergies (interactions) of data, which are numerous on investors and on market indicators on the financial market. The results obtained illustrate that the weight of equity investments in portfolios under management of institutional investors are impacted by the share of investors' equity portfolio in market capitalization and by the total assets of this category of investors compared to Morocco's GDP (Gross domestic product).
Un modèle mathématique est estimé à partir des variables significatives (après l'élimination des variables peu influentes) et à partir des variables dummy introduites pour corriger quelques évènements conjoncturels qui impactent les corrélations ordinaires des variables. Il peut exister plusieurs combinaisons linéaires stationnaires entre des variables intégrées d'ordre un. Dans la méthode de Johansen, la détermination de la dimension de l'espace de cointégration se fait par l'estimation d'un modèle autorégressif. Nous utiliserons le ratio de liquidité comme variable proxy de la liquidité du marché boursier marocain, pour estimer les indicateurs et les facteurs qui déterminent sa variabilité à court et à long terme. La méthode économétrique appropriée, serait d'estimer un modèle vectoriel à correction d'erreur (VECM) qui a la propriété de déterminer les relations de long et de court terme entre les variables. ABSTRACT. A mathematical model is estimated from the significant variables (after the elimination of the low influencing variables) and from dummy variables introduced to correct some cyclical events that impact the ordinary correlations of the variables. There may be several stationary linear combinations between built-in variables of order one. In Johansen's method, the cointegration space is determined by estimating an autoregressive model. We will use the liquidity ratio as a proxy for the liquidity of the Moroccan stock market, to estimate the indicators and the factors that determine its variability in the short and long run. The appropriate econometric method would be to estimate a vector error correction model (VECM) that has the property of determining the long and short term relationships between variables. MOTS-CLÉS. Modèle vectoriel, cointégration, ratio de liquidité, Bourse de Casablanca.
La construction du calendrier national permet l'optimisation et la production des séries corrigées des variations saisonnières, et donc d'améliorer significativement la qualité des modèles utilisés pour obtenir des indicateurs fiables, lisibles, interprétables et comparables. La décomposition des séries permet d'améliorer la qualité des régressions en isolant les effets irréguliers, saisonniers et de calendriers qui peuvent biaiser les relations modélisables. Nous allons analyser les séries de variables explorées en utilisant le logiciel Demetra+ [1] pour mieux affiner nos estimations par la suite. L'analyse exploratoire des données utilisées devrait permettre de résumer la distribution de chaque série et les relations entre les variables dont les caractéristiques pourraient exiger des transformations de mesure et d'unité ou des recodages. Les outliers par exemple sont susceptibles d'influencer les résultats d'un modèle statistique. Ce traitement permettra de capter les valeurs influentes avant de modéliser les corrélations entre les variables faisant l'objet d'une estimation. ABSTRACT. The construction of the national calendar allows the optimization and the production of the seasonally adjusted series, thus significantly improving the quality of the models used to obtain reliable, legible, and interpretable indicators. Series decomposition improves the quality of regressions by isolating irregular, seasonal, and time-sensitive effects that can bias the modeled relationships. We will analyze the series of variables explored using the Demetra + software [1] to better refine our estimates. The exploratory analysis of the data used should make it possible to summarize the distribution of each series and the relationships between variables whose characteristics might require measurement and unit transformations (or recoding). Outliers, for example, are likely to influence the results of a statistical model. This treatment will capture the influential values before modeling the correlations between the variables being estimated. MOTS-CLÉS. Effets irréguliers et calendriers, qualité des regressions, optimisation.
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