DETERMINANTS OF THE VARIATION IN THE LIQUIDITY BEHAVIOR OF THE CASABLANCA STOCK EXCHANGE: A GLOBAL ECONOMETRIC ANALYSIS ON TIME SERIES
DOI :
https://doi.org/10.34874/IMIST.PRSM/ffi-v1i25.37157Mots-clés :
‘’Casablanca Stock Exchange’’, ‘’Liquidity behavior’’, ‘’Liquidity determinants’’, ‘’MASI’’, ‘’MADEX’’.Résumé
In order to understand the behavior of the overall liquidity of the Casablanca Stock Exchange, the objective of this article is to examine the reaction of the liquidity of this market over time and in the face of its potential determinants. To do this, the article presents, first, a critical review of the literature on the determinants of the behavior of the liquidity of the stock markets, and secondly, an econometric analysis on time series to analyze the causal relationships likely to exist between the variables used in the liquidity of the Casablanca market (indicators of measurement of liquidity built on the basis of the main indices of the place : MASI and MADEX) and its potentially explanatory factors selected according to what is predicted by economic theory and taking into account certain specificities of the national economy. Our analysis is on a daily basis and covers the period from January 5, 2010 to August 8, 2018 (9 years), a total number of 2150 days of stock market quotation.
