Volume 32, Issue 4, May 2021, Pages 545–551
Mohammed Bouasabah1
1 National school of business and management, Ibn Tofail University, Kenitra, Morocco
Original language: English
Copyright © 2021 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Since the sixties, debates have been born on the models, which determine the evolution of the stock prices. In this work we will focus on one of the best performances in the region of the Middle East and North Africa (MENA), is Africa's third largest Bourse: Casablanca Stock Exchange (CSE), which had the “Index de la Bourse des Valeurs de Casablanca” (IGB) as an index. IGB was replaced in January 2002 by two indexes: MASI (Moroccan All Shares Index) comprises all listed shares, allows investors to follow all listed values and to have a long-term visibility. MADEX (Moroccan Most Active Shares Index) comprises most active shares listed continuously with variations closely linked to all the market serves as a reference for the listing of all funds invested in shares.Firstly, it aims at the investigation of stochastic model to show the variation of MASI index values, and, secondly, we will achieve a prediction interval of 95% of chance for Moroccan index future values. Here, the geometric Brownian motion (stochastic process without mean reversion propriety) is used to model the stochastic variation of MASI index values. In order to calculate models’ parameters daily close values of the Moroccan index from 02/01/2003 to 05/11/2019 can be taken from Casablanca Stock Exchange and, hence, stochastic models for MASI index variation is to be derived.
Author Keywords: MASI index, Modeling, Brownian Motion, Casablanca Stock Exchange, Stochastic Process.
Mohammed Bouasabah1
1 National school of business and management, Ibn Tofail University, Kenitra, Morocco
Original language: English
Copyright © 2021 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
Since the sixties, debates have been born on the models, which determine the evolution of the stock prices. In this work we will focus on one of the best performances in the region of the Middle East and North Africa (MENA), is Africa's third largest Bourse: Casablanca Stock Exchange (CSE), which had the “Index de la Bourse des Valeurs de Casablanca” (IGB) as an index. IGB was replaced in January 2002 by two indexes: MASI (Moroccan All Shares Index) comprises all listed shares, allows investors to follow all listed values and to have a long-term visibility. MADEX (Moroccan Most Active Shares Index) comprises most active shares listed continuously with variations closely linked to all the market serves as a reference for the listing of all funds invested in shares.Firstly, it aims at the investigation of stochastic model to show the variation of MASI index values, and, secondly, we will achieve a prediction interval of 95% of chance for Moroccan index future values. Here, the geometric Brownian motion (stochastic process without mean reversion propriety) is used to model the stochastic variation of MASI index values. In order to calculate models’ parameters daily close values of the Moroccan index from 02/01/2003 to 05/11/2019 can be taken from Casablanca Stock Exchange and, hence, stochastic models for MASI index variation is to be derived.
Author Keywords: MASI index, Modeling, Brownian Motion, Casablanca Stock Exchange, Stochastic Process.
How to Cite this Article
Mohammed Bouasabah, “Moroccan Financial Market: Stochastic Modeling and Prediction Interval for Future Values of MASI index,” International Journal of Innovation and Applied Studies, vol. 32, no. 4, pp. 545–551, May 2021.
