Record Details

Trading Mechanisms, Return’s Volatility, and Efficiency in the Casablance Stock Exchange

Indonesian Capital Market Review

View Archive Info
 
 
Field Value
 
Title Trading Mechanisms, Return’s Volatility, and Efficiency in the Casablance Stock Exchange
 
Creator El Mehdi Ferrouhi; Mohammed V University, Rabat
Elhadj Ezzahid; Mohammed V University, Rabat
 
Description 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% of stocks studied show independence between variations.   Keywords: Trading mechanism, microstructure, call market, continuous market, efficiency, volatility
 
Publisher Management Research Center, Department of Management, Faculty of Economics and Business, U
 
Contributor —
 
Date 2013-07-01
 
Type Peer-reviewed Article
 
Format application/mbox
 
Identifier http://journal.ui.ac.id/index.php/icmr/article/view/1859
 
Source Indonesian Capital Market Review; Vol 5, No 2 (2013): July 2013
 
Language en