FINANCIAL MARKETS EFFICIENCY: MADEX IS NOT A RANDOM WALK

Abstract

This paper aims to test the hypothesis of informational efficiency of the Moroccan financial market, first reviewing the theoretical underpinnings of this hypothesis, as well as various research works conducted in this direction in different financial markets including the Moroccan market subject of our study.
To this end, we have applied different tests on the series of logarithmic returns of the MADEX index, including the autocorrelation test, the Ljung box test in addition to a non-parametric test (Runs test) to analyze the series of daily logarithmic returns of the index over a period of 10 years covering from 01/01/2010 to 01/01/2020
Our results indicate that the Moroccan market is inefficient in the weak sense through the rejection of the presence of a random walk process argued by the presence of significant autocorrelation at the first lag and by a number of sequences significantly different from the normal value of the daily return of the main index of the Casablanca stock exchange MADEX.