Conception d’un modèle microscopique adapté aux marchés financiers émergents

cas du marché financier marocain

Auteurs-es

  • Ahmed El OUBANI Faculté des Sciences Juridiques Economiques et Sociales Oujda, Université Mohammed Premier https://orcid.org/0000-0002-0082-8671
  • Mostafa LEKHAL Faculté des Sciences Juridiques Economiques et Sociales Oujda, Université Mohammed Premier

DOI :

https://doi.org/10.5281/zenodo.6774916

Mots-clés :

Hypothèse d’Efficience des Marchés (EMH), Hypothèse des Marchés Adaptatifs (AMH), faits stylisés, degré d’efficience variable au cours du temps, Modèle à base d’agents (ABM)

Résumé

Objectif : L’objectif de cet article est de concevoir un modèle microscopique, sous l'Hypothèse des Marchés Adaptatifs (AMH), capable d'expliquer la formation des prix d'équilibre et la dynamique d'efficience du marché financier marocain.

Méthodes : Notre modèle combine le comportement des investisseurs et la microstructure du marché. Pour valider le modèle, nous avons réalisé des simulations sous deux scénarios. Le premier scénario intègre les deux compartiments du modèle. Le deuxième scénario étudie uniquement l’effet de la microstructure.

Résultats : Les simulations numériques montrent que le modèle est validé empiriquement par rapport aux faits observés sur le marché marocain.

Originalité/Implications : C’est le premier modèle réalisé sous l’AMH qui tient compte des spécificités des marchés financiers émergents comme le marché financier marocain. Le modèle a des implications importantes aussi bien pour les politiques de régulation que pour la construction des stratégies d’investissement.

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Publié-e

2022-06-30

Comment citer

El OUBANI, A., & LEKHAL, M. (2022). Conception d’un modèle microscopique adapté aux marchés financiers émergents : cas du marché financier marocain. Journal of Academic Finance, 13(1), 17–30. https://doi.org/10.5281/zenodo.6774916

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