Test of Weak Efficiency on Casablanca Stock Market, Chaotic Dynamic and Long Memory

Abstract

This paper aim to investigate the weak form efficiency of the Casablanca Moroccan stock market. After a brief explanation of the efficient market theory developped by Eygene Fama, we have made the whole classical econometric tests used to test the weak form efficiency, this is made by using MASI index that represents the whole stocks in Casablanca stock market. At the end of this study, we have rejected the hypothesis of efficience of Casablanca Stock market, and we have deduced that MASI is caracterised aby a choatic dynamic that we have cvalidated by calculation of Lyapunov exponent, finally and in order to judge the model that represent the MASI we have modeled MASI index using the process ARFIMA (p,dq) and we have deduced that MASI is caracterized by a long memory.