Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange

El Mehdi Ferrouhi and Elhadj Ezzahid

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies the impact of the stock market continuity on the returns volatility and on the market efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanism used is the continuous market which is preceded by a call market pre-opening session. Results obtained concerning return volatility and efficiency under the two trading mechanisms show that the continuous market returns are more volatile than the call market returns and 50 percent of stocks studied show independence between variations.

Keywords: Trading mechanism; microstructure; call market; continuous market; efficiency; volatility (search for similar items in EconPapers)
JEL-codes: C1 C10 G17 G21 G3 G32 (search for similar items in EconPapers)
Date: 2013-07
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Citations: View citations in EconPapers (1)

Published in Indonesian Capital Market Review 2.5(2013): pp. 65-73

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