Titre : Mathematical error‐correction modeling of the liquidity of the stock market. Application: Impact of Market Structure and Institutional Savings on the Capital Market 

Auteurs : Norelislam El Hami, Mustapha Bouchekourte,  

Revue : Uncertainties and Reliability of Multiphysical Systems 

Numéro : Issue 1 

Volume : 2 

Date : 2018/05/16 

DOI : 10.21494/ISTE.OP.2018.0259 

ISSN : 2514-569X 

Résumé : A mathematical model is estimated from the significant variables (after the elimination of the low influencing variables) and from dummy variables introduced to correct some cyclical events that impact the ordinary correlations of the variables. There may be several stationary linear combinations between built-in variables of order one. In Johansen’s method, the cointegration space is determined by estimating an autoregressive model. We will use the liquidity ratio as a proxy for the liquidity of the Moroccan stock market, to estimate the indicators and the factors that determine its variability in the short and long run. The appropriate econometric method would be to estimate a vector error correction model (VECM) that has the property of determining the long and short term relationships between variables. 

Éditeur : ISTE OpenScience