Int. J. Simul. Multidisci. Des. Optim.
Volume 13, 2022
Simulation and Optimization for Industry 4.0
|Number of page(s)||10|
|Published online||06 January 2022|
Optimization of the impact measurement of market structure on liquidity and volatility
Engineering Sciences Laboratory – ENSA, Ibn Tofail University, Kenitra, Morocco
2 Research Laboratory in Management Sciences Organizations, ENCG, Ibn Tofail University, Kenitra, Morocco
* e-mail: email@example.com
Accepted: 15 November 2021
Liquidity and volatility are the two barometers that allow stock markets to appreciate in terms of attractiveness, profitability and efficiency. Several macroeconomic and microstructure variables condition the level of liquidity that directly impact the asset allocation decisions of different investor profiles − institutional and individuals − and therefore the dynamics of the market as a whole. Volatility is the regulatory component that provides information on the level of risk that characterizes the market. Thus, the appreciation of these two elements is of considerable help to fund managers looking to optimize their equity pockets. In this work, we will use the liquidity ratio as a proxy variable for the liquidity of the Moroccan stock market, to estimate the indicators and factors that determine its short- and long-term variability. The appropriate econometric method would be to estimate an error correction vector model (ECVM) which has the property of determining the long- and short-term relationships between the variables. The volatility of the MASI index will be the subject of a second estimate to capture the shape of the function of its evolution.
Key words: Liquidity / volatility / optimization stock market / ratio / ECVM / MASI / CSE
© S. Rhouas et al., Published by EDP Sciences, 2022
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.