Lekhal Mostafa, El Oubani Ahmed
Faculty of Law, Economics and Social Sciences, University of Mohamed First, Oujda, Morocco.
Laboratory: LURIGOR, Morocco.
Heliyon. 2020 Jul 17;6(7):e04429. doi: 10.1016/j.heliyon.2020.e04429. eCollection 2020 Jul.
This paper scrutinizes different aspects of the Adaptive Market Hypothesis (AMH) in the Moroccan financial market over the period from January 1992 to September 2019 through different approaches. On the basis of daily returns on MASI index, we measure the evolution of efficiency degree based on the linear and nonlinear tests with rolling window. One of the practical implications of the AMH is that the profit opportunities arise from time to time depending on the degree of market efficiency and according to market conditions. To investigate this implication, we track the evolving performance of momentum-based trading strategies and the extent to which this performance is related to the market efficiency degree and certain market conditions. The linear and nonlinear tests reveal that the efficiency degree is time-varying. Moreover, we find via momentum test that profit opportunities appear from time to time and disappear once they are exploited. Interestingly, the momentum profits depend on both the degree of market efficiency and some market conditions. Thus, the investors can capitalize on the inefficiency and certain market conditions using trading strategies such momentum. Overall, our findings are consistent with the AMH framework, which is proved to be a better explanation of the behavior of emerging markets than the Efficiency Market Hypothesis (EMH).
本文通过不同方法审视了1992年1月至2019年9月期间摩洛哥金融市场中适应性市场假说（AMH）的不同方面。基于马斯喀特证券交易所综合指数（MASI）的日回报率，我们采用滚动窗口的线性和非线性检验来衡量效率程度的演变。适应性市场假说的一个实际意义在于，利润机会会不时出现，这取决于市场效率程度以及市场状况。为了研究这一意义，我们追踪基于动量的交易策略的演变表现，以及这种表现与市场效率程度和某些市场状况的关联程度。线性和非线性检验表明，效率程度是随时间变化的。此外，我们通过动量检验发现，利润机会不时出现，一旦被利用就会消失。有趣的是，动量利润既取决于市场效率程度，也取决于一些市场状况。因此，投资者可以利用诸如动量这样的交易策略，从市场低效和某些市场状况中获利。总体而言，我们的研究结果与适应性市场假说框架一致，事实证明，相较于有效市场假说（EMH），该框架能更好地解释新兴市场的行为。
