THE efficient portfolio construction: an empirical investigation based on some listed shares in casablanca stock exchange

In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test the normality and the stationarity of 31 shares which have composed our sample; secondly we will review a theoretical literature about the optimal portfolio choices (based on the Markowitz mean-variance analysis). Thirdly and related to the practical part, we enumerate and emphasize the steps that lead to the construction of efficient portfolio. The presented modelling is used in order to optimally allocate the selected financial assets. The different methods of measurement of return, risk and the other statistical properties constitute, in fact, the pillars of companies sample listed analysis in the case of Casablanca Stock Exchange. Our purpose ends with the assets selection which allows us to choose the efficient portfolio. The selection process of efficient portfolio can be summarized in the following stages: the collection of data to be able to constitute our sample; the estimation of returns, of beta sensibility coefficients and risky assets of investment; the selection of efficient and profitable assets according to some criteria; the weighting coefficients allocation presenting the efficient border of portfolios. In this article and under the choice of companies sample composing our portfolios, we shall take into account, the shares monthly returns, the rate of dispersal around the average of returns, the covariance between assets (degree of interdependence between assets) and the type of sector that each company sets up (in order to highlight an analysis based on a disparity in achievement yields).Portfolio Construction; Stationarity; Normality of Return; Risk; Efficient Portfolio; Markowitz Model; Casablanca Stock Exchange.

THE Exchange Rate Determinants in Morocco: An Empirical Investigation

One of the most important instruments of economic policy of the opened countries is the exchange rate. It is considered both a mean of monetary regulation and a tool of outside competitiveness. Morocco plans to adopt the floating exchange rate regime, in the end of 2009. Indeed, the question which arises today is to know what type of floating exchange rate regime will be applied. Under the economic, technical and institutional factors, we ask if Morocco is ready and able to adopt this regime. In the light of this report, this paper will deal with the impact of the exchange rate policy on the real economy in Morocco through an empirical model called « The Behavioural Equilibrium Exchange Rate » supported by Clark and MacDonald (1997). Firstly, our investigation deals with the efficiency of exchange rate policy adopted by Morocco, secondly, it deals with the capacity of Dirham to resist to the shocks caused by the misalignments and finely, with the Moroccan monetary authorities’ capacity to manage the existing exchange regime. Under using the cointegration method, the error correction model and the analysis of the shocks by using the method of the decomposition of variance, our results confirm that the dynamics of the exchange rate in Morocco is determined by the variables such as the terms of trade, the foreign assets and the foreign debt. Similarly, in terms of short-term fluctuations in the exchange rate and in the analysis of the shocks, the supply and demand dynamics the dirham seems determining.Exchange Rate Policy; Exchange Rate regime; efficiency; shocks and misalignments; Cointegration Tests; Stability; Dirham.

Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca

In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test the normality and the stationarity of 31 shares which have composed our sample; secondly we will review a theoretical literature about the optimal portfolio choices (based on the Markowitz mean-variance analysis). Thirdly and related to the practical part, we enumerate and emphasize the steps that lead to the construction of efficient portfolio. The presented modelling is used in order to optimally allocate the selected financial assets. The different methods of measurement of return, risk and the other statistical properties constitute, in fact, the pillars of companies sample listed analysis in the case of Casablanca Stock Exchange. Our purpose ends with the assets selection which allows us to choose the efficient portfolio. The selection process of efficient portfolio can be summarized in the following stages: the collection of data to be able to constitute our sample; the estimation of returns, of beta sensibility coefficients and risky assets of investment; the selection of efficient and profitable assets according to some criteria; the weighting coefficients allocation presenting the efficient border of portfolios. In this article and under the choice of companies sample composing our portfolios, we shall take into account, the shares monthly returns, the rate of dispersal around the average of returns, the covariance between assets (degree of interdependence between assets) and the type of sector that each company sets up (in order to highlight an analysis based on a disparity in achievement yields)

LES déterminants du taux de change au Maroc : Une étude empirique

One of the most important instruments of economic policy of the opened countries is the exchange rate. It is considered both a mean of monetary regulation and a tool of outside competitiveness. Morocco plans to adopt the floating exchange rate regime, in the end of 2009. Indeed, the question which arises today is to know what type of floating exchange rate regime will be applied. Under the economic, technical and institutional factors, we ask if Morocco is ready and able to adopt this regime. In the light of this report, this paper will deal with the impact of the exchange rate policy on the real economy in Morocco through an empirical model called « The Behavioural Equilibrium Exchange Rate » supported by Clark and MacDonald (1997). Firstly, our investigation deals with the efficiency of exchange rate policy adopted by Morocco, secondly, it deals with the capacity of Dirham to resist to the shocks caused by the misalignments and finely, with the Moroccan monetary authorities’ capacity to manage the existing exchange regime. Under using the cointegration method, the error correction model and the analysis of the shocks by using the method of the decomposition of variance, our results confirm that the dynamics of the exchange rate in Morocco is determined by the variables such as the terms of trade, the foreign assets and the foreign debt. Similarly, in terms of short-term fluctuations in the exchange rate and in the analysis of the shocks, the supply and demand dynamics the dirham seems determining

LES déterminants du taux de change au Maroc : Une étude empirique

One of the most important instruments of economic policy of the opened countries is the exchange rate. It is considered both a mean of monetary regulation and a tool of outside competitiveness. Morocco plans to adopt the floating exchange rate regime, in the end of 2009. Indeed, the question which arises today is to know what type of floating exchange rate regime will be applied. Under the economic, technical and institutional factors, we ask if Morocco is ready and able to adopt this regime. In the light of this report, this paper will deal with the impact of the exchange rate policy on the real economy in Morocco through an empirical model called « The Behavioural Equilibrium Exchange Rate » supported by Clark and MacDonald (1997). Firstly, our investigation deals with the efficiency of exchange rate policy adopted by Morocco, secondly, it deals with the capacity of Dirham to resist to the shocks caused by the misalignments and finely, with the Moroccan monetary authorities’ capacity to manage the existing exchange regime. Under using the cointegration method, the error correction model and the analysis of the shocks by using the method of the decomposition of variance, our results confirm that the dynamics of the exchange rate in Morocco is determined by the variables such as the terms of trade, the foreign assets and the foreign debt. Similarly, in terms of short-term fluctuations in the exchange rate and in the analysis of the shocks, the supply and demand dynamics the dirham seems determining

The Moroccan Monetary and Financial Structure Reforms and Economic Agents´Behaviour

In this paper, we examine the main measures taken by Morocco within the framework of the reform of monetary and financial structures. Also, we treat the impact of these measures on the financial wealth structure of householders and companies. So, our aim is to encircle the new behaviour concerning wealth holder’s investment. In this contribution, we show that the new behaviour of non-financial agents (NFA) portfolio management is made possible by financial innovations and new products of investment offered by all financial intermediaries. So, the importance will be put, on the one hand, on the financial wealth which can be invested by NFA and managed under the portfolio forms. On the other hand, we try to show the role of monetary assets among all financial assets, through the empirical study which concerns the stability demand for money function over the period 1980-2002 (the quarterly data). This study concerns the narrow monetary aggregate (M1). Obtained results indicate a cointegration relationship between M1 aggregate in real terms, the real GDP, the short-term interest rate and the consumer price index. In spite of new financial instruments, these results conclude favourably to the stability of NFA behaviour vis-à-vis M1’s demand.Monetary and Financial Structures ; Money Demand ; Reform ; Behaviour of the NFA ; Wealth ; Investment ; Portfolio Management ; Monetary Assets ; Financial Assets ; NFA.