 Performance analysis of the alternative stock index vs. MASI using the GARCH modelAnalyse des performances de l'indice boursier alternatif par rapport au MASI à l'aide du modèle GARCHIsmail Nasiri ()
Working Papers from HAL Abstract: Purpose: This paper aims at analyzing the performance of the alternative stock market index (SPMII) compared to its counterpart (MASI) by the S&P model. methodology: The study constructed over a period from 01/01/2017 to 12/31/2018. Using the Augmented Dickey Fuller (ADF) test to investigate the stationarity of the two stock market indices. Then, we estimated the average model for the ARCH effect by the ARCH-LM test and, by GARCH type models with the generalized error distribution (GED), as well as, forecasting their future variations by using the standard loss functions (symmetric) to evaluate the forecasting performance of competing models: (RMSE), (MAE), (MAPE) and (TIC). Findings: The curve of SPMII varies in a quasi-stable manner, unlike its counterpart which climbs significantly, given its date of birth, which is considered old, compared to the other which has just been created. The series of their returns show ARCH effects, which proves the impact of the heteroscedasticity effect. Table IV revealed that strong ARCH and GARCH effects are evident in the returns, inferring the appearance of a leverage effect. The results show that the EGARCH (1, 1) model outperforms all other models in predicting the volatility of (SPMII) and (MASI) returns. The results show that the SPMII is more stable due to its selection of less volatile companies, while the MASI exhibits greater volatility because of its age and the fluctuating performances of the companies. The volatility clustering effects and the leverage effect indicate a more pronounced response to negative shocks. Since the SPMII is recent, there could be unassessed temporal biases. Originality: This study compares, for the first time in Morocco, the performance of an Islamic stock market index (SPMII) with its traditional counterpart (MASI) using the Standard & Poor's model. It highlights the specific features of the Islamic index, its current and future fluctuations, and its potential as an investment alternative in the Moroccan financial market. We have noticed the absence of an Islamic stock index in Morocco. This has motivated us to design this index and study its performance. To date, the index has not yet been officially created on the Moroccan stock market. Governments should adopt favorable policies for Islamic indices and offer tax incentives to stimulate the market. Strengthen corporate transparency and governance to attract more capital. Encourage international cooperation to harmonize Islamic financial standards and widely integrate these indices. Keywords: Islamic index; GARCH Model; Morocco; Financial Forecasting; Simulation; Indice islamique; modèle GARCH; Maroc; prévision financière; simulation. (search for similar items in EconPapers) Published in Faculty of Law and Economics, Abdelmalek Essaadi University, Tangier – Morocco. 2024 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-04982827 Access Statistics for this paper More papers in Working Papers from HAL |
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