Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Moroccan Stock Market

Authors

  • Lahboub Karima Sidi Mohamed Ben Abdellah University, National School of Business and Management, Research and Study, laboratory in Management, entrepreneurship, and Finance, Immouzer Avenue, B. P A81, 30000 Fez, Morocco
  • Benali Mimoun Sidi Mohamed Ben Abdellah University, National School of Business and Management, Research and Study, laboratory in Management, entrepreneurship, and Finance, Immouzer Avenue, B. P A81, 30000 Fez, Morocco
  • Ghada Moufdi Ful Professor of Economics and Finance

Keywords:

Market efficiency; Casablanca stock exchange; autocorrelation; unit root test; runs test; variance ratio; random walk; Adaptive Market Hypothesis.

Abstract

Firstly, this paper is distinctive in that it employs a lengthy sample period that provides a comprehensive view of how market efficiency has evolved throughout the annals of the Moroccan stock market. This paper aims to evaluate both the efficient market hypothesis (EMH) and the adaptive market hypothesis (AMH) and the time-varying return predictability of the MASI. It predominantly uses the daily closing price of the MASI (Moroccan all-share index) from January 2007 to December 2021. In addition, eight distinct assessments representing primarily two distinct categories (linear and non-linear) have been utilized to determine the level of market efficacy in this study. Consequently, following the adaptive market theory, the findings of this study indicate periods of efficiency followed by periods of inefficiency. In addition, we discover evidence that the stock market's economic foundations and volatility are related to return predictability.

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Published

2023-05-31

Issue

Vol. 45 No. 129 (2022): September - December 2022

Section

Articles