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Contribution of the Cointegration Theory to the Study of the Volatility of Financial Markets: Case of the Casablanca Stock Exchange

Author

Listed:
  • Nabil Sifouh

    (PhD student, FSJES Souissi,Mohammed V University,Rabat)

  • Oubal Khadija
  • Sara Bayoud

Abstract

The purpose of this paper is to highlight the long-term relationship between stock prices and dividends for a sample of companies listed on the Casablanca Stock Exchange between 2002 and 2016 using the cointegration theory especially its developments in panel data. Our results show that prices are more volatile than dividends, which rejects the possibility of their anticipation by the dividend discount model under the assumption of efficient markets.

Suggested Citation

  • Nabil Sifouh & Oubal Khadija & Sara Bayoud, 2022. "Contribution of the Cointegration Theory to the Study of the Volatility of Financial Markets: Case of the Casablanca Stock Exchange," European Journal of Marketing and Economics Articles, Revistia Research and Publishing, vol. 5, July - De.
    • Handle: RePEc:eur:ejmejr:108
    DOI: 10.26417/ejme.v1i1.p84-91
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    References listed on IDEAS

    as
    1. Zoltan Musinszki & Gabor Bela Suveges, 2019. "Strategic Decision-Making Supported By Traditional Financial Indicators," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 4(1), pages 29-37, March.
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