Dynamique Non Linéaire Du Marché Boursier Marocain : Une Application Des Modèles A Changement De Régimes

In this paper, we study the dynamics of the Moroccan stock index the MASI as well as six Moroccan companies among the biggest market capitalizations. For this purpose, we characterize these dynamics by holding a particular class of the non-linear models, namely, the models with smooth transition « STAR » which are able to reproduce the switching regimes in the presence of transaction costs and in the presence of heterogeneous anticipations of the investors. The estimations done, conjugated to the theoretical framework, highlight the superiority of the process SETAR with regard to the linear model to reproduce the dynamics of the stock-exchange yields of the Moroccan companies, and to question the hypothesis of efficiency of financial markets.