Author

  • Mustapha El hami

    • Research laboratory in economic and logistics performance, Morocco
    • Morocco

  • Ahmed Hefnaoui

    • Research laboratory in economic and logistics performance, Morocco
    • Morocco

Abstract

Frontier markets, particularly the Moroccan financial market, are characterized by a narrowness of market, inability to absorb erratic price fluctuations and the low liquidity of securities that encourage investors to herd and imitate those who have all the information about the market. A quantitative research approach was used to analyze the existence of herding n Moroccan stock market. The daily data used in this study concerns the period from 04/01/2010 to 29/12/2017 and contains the daily returns of the MASI and a total of 43 traded stocks. Statistical and econometric methods such as multidimensional scaling and Cross-sectional absolute deviation were used. Subsequently, after the regression models were examined, findings indicated that the first stocks with the highest similarity to the index return are BMCE, BCP, IAM, ATW and CMSR, and the first stocks with the highest dissimilarity are PAP, IBC and SNP, This will have to allow investors to choose profitable alternatives and avoid those that present a possible risk. The results did also show the existence of herding in the Moroccan stock market both upward and downward. This finding was supported by the clear existence of a non-linearity between market performance and CSAD measurement, which confirms the prediction of a nonlinear inversion relationship between CSAD and ????????. This could be due to the low level of transparency that prevails in frontier stock exchanges and reduces the quality of their information environment, which leads investors not to react rationally and to draw information from the transactions of their peers.

Keywords

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How to Cite

El hami, M., & Hefnaoui, A. (2019). Analysis of Herding Behavior in Moroccan Stock Market. Journal of Economics and Behavioral Studies, 11(1(J), 181-190. https://doi.org/10.22610/jebs.v11i1(J).2758

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Research Paper

Published in

Vol. 11 No. 1(J) (2019) Leadership, Policy & Investor Behaviour View issue contents

Published

2019-03-10

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