Feasible Momentum Strategies in the Moroccan Stock Market

Benali Mimoun (), Lahboub Karima () and Moufdi Ghada ()
Additional contact information
Benali Mimoun: ENCG, SIDI MOHAMED BEN ABDELLAH UNIVERSITY
Lahboub Karima: ENCG, SIDI MOHAMED BEN ABDELLAH
Moufdi Ghada: FSJES, SIDI MOHAMED BEN ABDELLAH

No 13215690, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: The major goal of this paper is to find out if there is a momentum impact at the company level in Morocco. In our study, we used stock prices from 59 Moroccan companies traded on the Casablanca Stock Exchange (CSE) from 2008 to 2017. Moreover, Jegadeesh and Timan's (1993) Methodology was utilized to create momentum portfolios. In reality, this research provides solid evidence of the momentum impact in Moroccan firm portfolios, proving that a six-momentum approach with a twelve-month holding duration generated a high return of 7,3412 percent per month on average. likewise, our study shows that the momentum method is still profitable and statistically significant when applied to a sub-period sample. Meanwhile, we showed that the CAPM model and the Fama French three-factor model may accurately describe momentum earnings in the Moroccan market.

Keywords: Casablanca Stock Exchange; Momentum Effect; CAPM; Fama?French Three-Factor Model. (search for similar items in EconPapers)
JEL-codes: G02 G10 G11 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2022-10
New Economics Papers: this item is included in nep-ara
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Proceedings of the Proceedings of the 17th Economics & Finance Conference, Istanbul, Oct 2022, pages 171-182

Downloads: (external link)
https://iises.net/proceedings/17th-economics-finan ... 32&iid=013&rid=15690 First version, 2022

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:13215690

Access Statistics for this paper

More papers in Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().