Capital structure choice is vital in corporate financial management due to its effect on both inv... more Capital structure choice is vital in corporate financial management due to its effect on both investors' risk and return. Despite the various research that has investigated factors affecting the capital structure of companies, only a few studies have started to examine the capital structure of Shari'ah-compliant companies, especially in the MENA region. Indeed, the screening requirements for which shari'ah-compliant must adhere can affect their capital structure determinants. Hence, under those conditions, this study aims to determine the factors influencing the capital structure of a shari'ah-compliant listed firm in five MENA region countries. The importance of investigating shariah-complaint companies capital structure emanates from the financial constraints on their debt capital structure. Accordingly, this study utilizes static panel data techniques on a sample consisting of Shari'ah-compliant firms over the period 20102018. The findings of this study were c...
La performance financière constitue un indicateur clé de la stabilité et de la solidité du secteu... more La performance financière constitue un indicateur clé de la stabilité et de la solidité du secteur bancaire. Cette recherche examine empiriquement l'effet des facteurs spécifiques à l'activité bancaire sur la performance financière des banques islamiques opérant dans 12 pays. En adoptant une approche quantitative justifiée par l'économétrie des données de panel pendant la période allant du dernier trimestre 2013 jusqu'au troisième trimestre 2019, les résultats mettent en évidence l'existence d'une relation très significative entre l'ensemble des variables explicatives et la variable dépendante (ROA). En effet, la performance financière des banques islamiques est corrélée positivement avec la taille de la banque et la liquidité alors qu'elle est influencée négativement par la capitalisation bancaire, la qualité des actifs et l'efficacité opérationnelle.
Bank liquidity stands as a key pillar in the survival of the financial system as it reflects its ... more Bank liquidity stands as a key pillar in the survival of the financial system as it reflects its robustness and maturity. On the other hand, the recent introduction of Islamic banks in Morocco has provided a new ground to re-think the ongoing practices of liquidity Revue Économie, Gestion et Société N°21 août 2019 2 management. In fact, these practices have relied on questionable mechanism like Tawarruq that deviates from the basic principles of Islamic finance. Researchers agree that Risk-sharing stands in the center of the Islamic finance and therefore, is presented as an optimal model for an efficient banking model. However, operational constraints along with rigid regulatory framework have put this model on hold for years. (Bacha & Mirakhor, 2017)proposed a genuine model based on Risk-sharing that provides a complete banking structure that will enable Islamic banks to manage their liquidity along with optimizing their risk exposure. The proposed model is fully based on Risk-shar...
La création de liquidité bancaire est considérée dans la littérature de l'intermédiation fina... more La création de liquidité bancaire est considérée dans la littérature de l'intermédiation financière comme une raison d'être des banques. Ces dernières jouent un rôle important en fournissant la liquidité à travers le financement des actifs non liquides à long terme avec des passifs liquides à court terme. Dans le présent article, nous proposerons des mesures de création de liquidité bancaire en se basant sur l'approche de Berger & Bouwman (2009) et en utilisant les données annuelles des bilans et hors bilan des banques marocaines durant la période 2008-2017. L'objectif est d'étudier combien de liquidité a été créée par le secteur bancaire marocain et comment celle-ci a varié dans le temps. Nous tenterons aussi d'analyser cette dernière par taille des banques et par leur type d'actionnariat. Les résultats trouvés montrent que le secteur bancaire marocain a créé 489,63 milliards de MAD à la fin de 2017 en constante augmentation portée principalement par les...
The purpose of this article is to examine the impact of bank-specific variables on the liquidity ... more The purpose of this article is to examine the impact of bank-specific variables on the liquidity risk of Islamic banks operating in 12 countries over the period from 2014Q1 to 2019Q3. Using the fixed effects technique panel data regression, we find that there is a significant positive impact of capital adequacy, asset quality and bank size on the liquidity risk measure. Moreover, cost-to-income ratio has a significant and positive association with liquidity risk of Islamic banks. The study also concluded that bank profitability has an insignificant relationship with the liquidity risk for the Islamic banks.Key Words: Family business ; employer brand ; recruitment ; intention to join the company ; perception of the family business.
This paper investigates the existence of an optimal cash level, speed of adjustment, and cash hol... more This paper investigates the existence of an optimal cash level, speed of adjustment, and cash holding determinants. The threshold regression and dynamic model were used in this study on four MENA countries from 2007 to 2018. The findings show there is a nonlinear relationship between cash level and firm’s value which is consistent with the trade-off theory. Furthermore, our study confirms that firms holding cash above the optimal level of having a lower speed of adjustment than the firms with cash levels below the optimal level with size, growth, and net-working capital being key corporate cash determinants. Our results extend the theoretical implications of the trade-off theory to MENA countries and would help corporate policymakers to adjust their cash levels within the thresholds’ levels to maximize their firm value.
La civilisation Humaine a adopte le concept de la monnaie de par ses benefices socio-economiques ... more La civilisation Humaine a adopte le concept de la monnaie de par ses benefices socio-economiques tout le long de son existence. Cette adoption a evalue pour s’adapter aux avances technologiques et aux besoins economiques des gens. C’est autour de cette constante evolution que le concept des monnaies cryptees (Cryptocurrencies) a emerge suite aux series de crises financiere depuis le debut du XXeme siecle et qui ont mis en question la confiance des populations dans les autorites financieres centrales. La technologie des registres decentralises ainsi que celle de la cryptographie ont donne refuge a l’insatisfaction populaire envers le systeme monetaire traditionnel. En fait, l’Islam est avant tout un systeme de valeur qui vise la justice sociale, la transparence et prosperite generale. Par consequent, on constate une convergence de ces objectifs avec ceux portes par les monnaies cryptees. C’est pour cette raison que ce papier cherche a explorer la vision de la Charia envers ces instr...
Stock markets have always provided countries with a practical and flexible way to finance their e... more Stock markets have always provided countries with a practical and flexible way to finance their economies. Hence, Islamic finance has embraced the stock market since the early 90s adopting the same framework as an ethical investment. Accordingly, Islamic investors in emerging countries shall have a range of choices when constructing a financial portfolio. However, existing screening methodologies lack flexibility as they are mainly based on rigid ratios and irrelevant thresholds. Consequently, these methodologies lead to an inefficient stock index as they completely ignore the features of each stock market along with the specificities of each industry. Thus, our study will try to propose a new screening methodology based on the optimal financial structure of each industry. The main objective of our study is to propose a methodology that will overcome different loopholes addressed in the literature. The present paper is an explanatory study which needs an empirical confirmation of th...
Nous etudions l’ampleur de l’auto-rationnement du credit chez les entreprises, specialement celle... more Nous etudions l’ampleur de l’auto-rationnement du credit chez les entreprises, specialement celles feminines, de la Region Souss-Massa (RSM) en utilisant les donnees d’une enquete. Notre definition des entreprises decouragees concerne celles qui ne demandent pas de credit bancaire alors que leur situation financiere le necessite. Nous employons l’analyse bi-variee et nous etudions le degre de ce type de rationnement de credit chez les gestionnaires feminins d’entreprises par rapport a ceux masculins. Nous constatons que les femmes gestionnaires d’entreprise sont plus decouragees que ces derniers.
The recent financial crisis of 2007-2008 highlighted the important role of liquidity in the banki... more The recent financial crisis of 2007-2008 highlighted the important role of liquidity in the banking system. Financial markets around the world have run out of liquidity and many financial institutions have gone bankrupt due to liquidity problems. Nevertheless, liquidity remains a very complex concept to define because of its polymorphic character. Only recently has the literature focused on defining the notion of liquidity and its different forms and the interactions that may exist between them. This paper aims to present a synthesis of reflections on banking liquidity. First, it discusses the different theoretical approaches to the concept and typology of the liquidity Finance & Finance Internationale N°14 janvier 2019 2 http://revues.imist.ma/?journal=FFI ISSN: 2489-1290 concept. Then, it presents the different liquidity risks. Finally, it discusses the main theoretical underpinnings of interactions between types of liquidity.
Since the last subprime financial crisis, banks pay special attention to liquidity management. Th... more Since the last subprime financial crisis, banks pay special attention to liquidity management. The latter is a dilemma and a challenge for all financial institutions: Islamic or conventional. The peculiarities of Islamic banks require a specific fund management with more constraints than their conventional counterparts. This is non-existent or under development in Islamic money markets. Studies conducted in this area reveal that there are researchers who insist on excess liquidity management while others rather indicate the difficulty of managing the so-called liquidity. Yet they all converge on the idea ofestablishing an adequate structure to Islamic money markets and the use of financial instruments for optimal liquidity management. Through this communication, we will try to present, first, a summary of the dilemma of liquidity management in Islamic banks; and secondly, the contributions of Islamic money market to this inevitable conclusion to Islamic banks. Keywords: Islamic bank...
Stock Market volatility has been extensively studied in finance literature. In this paper, we est... more Stock Market volatility has been extensively studied in finance literature. In this paper, we estimate Moroccan Stock Market return volatility by using Single-State GARCH models and Markov Regime Switching GARCH models. We proposed Back Propagation Neural Network algorithms to improve volatility forecasting of GARCH class models. The BPNN is combined with GARCH in such a way prediction of GARCH models is used as input of our Neural Network. Three volatility estimators are used for this purpose: Absolute return, Parkinson and Garman Klass. The forecasting accuracy of the models is examined using Mean Square Errors (MSE). The results indicate the efficiency of the neural network in enhancing the performance of GARCH models. The findings further clarify the superiority of the marriage of MRS-GARCH and EGARCH with neural network over considered models.
The majority of Muslim countries face increasing pressure on their budget, which pushes to more p... more The majority of Muslim countries face increasing pressure on their budget, which pushes to more public spending. Eventually, the main victim of this situation will be the welfare of Muslim communities. Despite Islam does not tolerate negligence regarding the importance of State as major player in preserving the welfare of Muslim communities, it offers a third option to support public effort through the institution of Waqf. Indeed, this institution has played a crucial role all along Muslim civilization and it is invited to more innovation to answer to today’s challenges. Sukuk-Waqf can be seen as the perfect sustainable financing instrument offered by Islam to help sustain public spending by the people and for the people. This paper will try to examine the concept of Waqf, cash Waqf and Sukuk Waqf is Islam and their evolution during Muslim civilization. Finally, it will go through modern attempts to implement this model that can answer the need for financing to support public effort...
PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19... more PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions.Design/methodology/approachThe author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020.FindingsThe regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis c...
This paper aims to study the impact of endogenous and exogenous factors on the default probabilit... more This paper aims to study the impact of endogenous and exogenous factors on the default probability through the structural approach (Internal Ratings-Based IRB). The study is conducted using data from listed companies on the Stock Exchange of Casablanca (BVMC); it covers the period from the beginning to the end of 2017. In this paper, we propose a numerical method, based on Monte Carlo simulation, to estimate the default probabilities using the Black & Scholes (1973) model. Our focus was on determining the most influential factors among the internal or external ones that impact the default probability of the listed non-financial companies on BVMC. JEL classification numbers: D81Keywords: Default probability, credit risk, IRB approach, Monte Carlo simulation.
L’objectif de cet article est d’etudier les differences de performance entre les indices islamiqu... more L’objectif de cet article est d’etudier les differences de performance entre les indices islamiques et leurs homologues conventionnels pour 20 pays emergents et 20 pays developpes sur la periode s’etalant d’Avril 2002 a Juin 2016. L’estimation de la dynamique de la volatilite par le modele EGARCH, suggere la presence d’une asymetrie entre le rendement et la volatilite et ce pour les indices conventionnels et les indices islamiques. En outre, les tests parametriques et non parametriques suggerent qu'ils n'existe pas de differences entre les rendements et les volatilites des deux types d'indices. Par ailleurs, les differentes mesures des rendements ajustes au risque indiquent que le rendement des indices islamiques ne permettent pas de surpasser ceux des taux sans risque. De plus, les Betas des modeles d’evaluation des actifs financiers (MEDAF) sont inferieurs a l'unite, stipulant ainsi que les variations des cours des indices islamiques sont generalement moins pr...
Cette recherche porte sur le role de la fidelisation par les produits et par les services bancair... more Cette recherche porte sur le role de la fidelisation par les produits et par les services bancaires dans la perennite de la relation entre la banque et ses clients "PME" et par consequent dans l’amelioration de la performance commerciale des banques de la region Souss Massa. L’etude a ete realisee aupres d’un echantillon de quatre-vingt-deux PME exercant dans divers domaines d’activite dans la region Sous Massa au Maroc. Les resultats montrent la place importante de la fidelisation par les services bancaires dans la durabilite de la relation et dans l’amelioration de la performance commerciale. Il semble que sans la qualite de service, il n’y aura pas de relations perennes avec les clients « PME ». La banque doit accorder une attention a la dimension qualitative de la relation client et en particulier a l’accueil, la prise en charge, la qualite de conseil et la reactivite.
Abstract. Financial markets in emerging countries are generating considerable literature, aiming ... more Abstract. Financial markets in emerging countries are generating considerable literature, aiming to understand their organization, perspective, and performance. In this context, few studies have expressed interest in the Moroccan financial market and even fewer researches have addressed the issue of the Moroccan financial market volatility. In this paper, we investigate variety of common properties, labelled as “stylized facts. Our results show that global and sectoral indices of Moroccan Stock Market share the majority of stylized facts. In fact, absolute returns correlation coefficients are positive and tends to decay at a much slower pace. Hence, volatility of Moroccan Stock Market captures the properties of volatility clustering and long memory. We also find evidence of volatility asymmetry. Yet, the level is not statistically significant for most of the indices. More interestingly, the Omori law indicates that Moroccan Stock market is relatively stable after financial shocks. K...
Capital structure choice is vital in corporate financial management due to its effect on both inv... more Capital structure choice is vital in corporate financial management due to its effect on both investors' risk and return. Despite the various research that has investigated factors affecting the capital structure of companies, only a few studies have started to examine the capital structure of Shari'ah-compliant companies, especially in the MENA region. Indeed, the screening requirements for which shari'ah-compliant must adhere can affect their capital structure determinants. Hence, under those conditions, this study aims to determine the factors influencing the capital structure of a shari'ah-compliant listed firm in five MENA region countries. The importance of investigating shariah-complaint companies capital structure emanates from the financial constraints on their debt capital structure. Accordingly, this study utilizes static panel data techniques on a sample consisting of Shari'ah-compliant firms over the period 20102018. The findings of this study were c...
La performance financière constitue un indicateur clé de la stabilité et de la solidité du secteu... more La performance financière constitue un indicateur clé de la stabilité et de la solidité du secteur bancaire. Cette recherche examine empiriquement l'effet des facteurs spécifiques à l'activité bancaire sur la performance financière des banques islamiques opérant dans 12 pays. En adoptant une approche quantitative justifiée par l'économétrie des données de panel pendant la période allant du dernier trimestre 2013 jusqu'au troisième trimestre 2019, les résultats mettent en évidence l'existence d'une relation très significative entre l'ensemble des variables explicatives et la variable dépendante (ROA). En effet, la performance financière des banques islamiques est corrélée positivement avec la taille de la banque et la liquidité alors qu'elle est influencée négativement par la capitalisation bancaire, la qualité des actifs et l'efficacité opérationnelle.
Bank liquidity stands as a key pillar in the survival of the financial system as it reflects its ... more Bank liquidity stands as a key pillar in the survival of the financial system as it reflects its robustness and maturity. On the other hand, the recent introduction of Islamic banks in Morocco has provided a new ground to re-think the ongoing practices of liquidity Revue Économie, Gestion et Société N°21 août 2019 2 management. In fact, these practices have relied on questionable mechanism like Tawarruq that deviates from the basic principles of Islamic finance. Researchers agree that Risk-sharing stands in the center of the Islamic finance and therefore, is presented as an optimal model for an efficient banking model. However, operational constraints along with rigid regulatory framework have put this model on hold for years. (Bacha & Mirakhor, 2017)proposed a genuine model based on Risk-sharing that provides a complete banking structure that will enable Islamic banks to manage their liquidity along with optimizing their risk exposure. The proposed model is fully based on Risk-shar...
La création de liquidité bancaire est considérée dans la littérature de l'intermédiation fina... more La création de liquidité bancaire est considérée dans la littérature de l'intermédiation financière comme une raison d'être des banques. Ces dernières jouent un rôle important en fournissant la liquidité à travers le financement des actifs non liquides à long terme avec des passifs liquides à court terme. Dans le présent article, nous proposerons des mesures de création de liquidité bancaire en se basant sur l'approche de Berger & Bouwman (2009) et en utilisant les données annuelles des bilans et hors bilan des banques marocaines durant la période 2008-2017. L'objectif est d'étudier combien de liquidité a été créée par le secteur bancaire marocain et comment celle-ci a varié dans le temps. Nous tenterons aussi d'analyser cette dernière par taille des banques et par leur type d'actionnariat. Les résultats trouvés montrent que le secteur bancaire marocain a créé 489,63 milliards de MAD à la fin de 2017 en constante augmentation portée principalement par les...
The purpose of this article is to examine the impact of bank-specific variables on the liquidity ... more The purpose of this article is to examine the impact of bank-specific variables on the liquidity risk of Islamic banks operating in 12 countries over the period from 2014Q1 to 2019Q3. Using the fixed effects technique panel data regression, we find that there is a significant positive impact of capital adequacy, asset quality and bank size on the liquidity risk measure. Moreover, cost-to-income ratio has a significant and positive association with liquidity risk of Islamic banks. The study also concluded that bank profitability has an insignificant relationship with the liquidity risk for the Islamic banks.Key Words: Family business ; employer brand ; recruitment ; intention to join the company ; perception of the family business.
This paper investigates the existence of an optimal cash level, speed of adjustment, and cash hol... more This paper investigates the existence of an optimal cash level, speed of adjustment, and cash holding determinants. The threshold regression and dynamic model were used in this study on four MENA countries from 2007 to 2018. The findings show there is a nonlinear relationship between cash level and firm’s value which is consistent with the trade-off theory. Furthermore, our study confirms that firms holding cash above the optimal level of having a lower speed of adjustment than the firms with cash levels below the optimal level with size, growth, and net-working capital being key corporate cash determinants. Our results extend the theoretical implications of the trade-off theory to MENA countries and would help corporate policymakers to adjust their cash levels within the thresholds’ levels to maximize their firm value.
La civilisation Humaine a adopte le concept de la monnaie de par ses benefices socio-economiques ... more La civilisation Humaine a adopte le concept de la monnaie de par ses benefices socio-economiques tout le long de son existence. Cette adoption a evalue pour s’adapter aux avances technologiques et aux besoins economiques des gens. C’est autour de cette constante evolution que le concept des monnaies cryptees (Cryptocurrencies) a emerge suite aux series de crises financiere depuis le debut du XXeme siecle et qui ont mis en question la confiance des populations dans les autorites financieres centrales. La technologie des registres decentralises ainsi que celle de la cryptographie ont donne refuge a l’insatisfaction populaire envers le systeme monetaire traditionnel. En fait, l’Islam est avant tout un systeme de valeur qui vise la justice sociale, la transparence et prosperite generale. Par consequent, on constate une convergence de ces objectifs avec ceux portes par les monnaies cryptees. C’est pour cette raison que ce papier cherche a explorer la vision de la Charia envers ces instr...
Stock markets have always provided countries with a practical and flexible way to finance their e... more Stock markets have always provided countries with a practical and flexible way to finance their economies. Hence, Islamic finance has embraced the stock market since the early 90s adopting the same framework as an ethical investment. Accordingly, Islamic investors in emerging countries shall have a range of choices when constructing a financial portfolio. However, existing screening methodologies lack flexibility as they are mainly based on rigid ratios and irrelevant thresholds. Consequently, these methodologies lead to an inefficient stock index as they completely ignore the features of each stock market along with the specificities of each industry. Thus, our study will try to propose a new screening methodology based on the optimal financial structure of each industry. The main objective of our study is to propose a methodology that will overcome different loopholes addressed in the literature. The present paper is an explanatory study which needs an empirical confirmation of th...
Nous etudions l’ampleur de l’auto-rationnement du credit chez les entreprises, specialement celle... more Nous etudions l’ampleur de l’auto-rationnement du credit chez les entreprises, specialement celles feminines, de la Region Souss-Massa (RSM) en utilisant les donnees d’une enquete. Notre definition des entreprises decouragees concerne celles qui ne demandent pas de credit bancaire alors que leur situation financiere le necessite. Nous employons l’analyse bi-variee et nous etudions le degre de ce type de rationnement de credit chez les gestionnaires feminins d’entreprises par rapport a ceux masculins. Nous constatons que les femmes gestionnaires d’entreprise sont plus decouragees que ces derniers.
The recent financial crisis of 2007-2008 highlighted the important role of liquidity in the banki... more The recent financial crisis of 2007-2008 highlighted the important role of liquidity in the banking system. Financial markets around the world have run out of liquidity and many financial institutions have gone bankrupt due to liquidity problems. Nevertheless, liquidity remains a very complex concept to define because of its polymorphic character. Only recently has the literature focused on defining the notion of liquidity and its different forms and the interactions that may exist between them. This paper aims to present a synthesis of reflections on banking liquidity. First, it discusses the different theoretical approaches to the concept and typology of the liquidity Finance & Finance Internationale N°14 janvier 2019 2 http://revues.imist.ma/?journal=FFI ISSN: 2489-1290 concept. Then, it presents the different liquidity risks. Finally, it discusses the main theoretical underpinnings of interactions between types of liquidity.
Since the last subprime financial crisis, banks pay special attention to liquidity management. Th... more Since the last subprime financial crisis, banks pay special attention to liquidity management. The latter is a dilemma and a challenge for all financial institutions: Islamic or conventional. The peculiarities of Islamic banks require a specific fund management with more constraints than their conventional counterparts. This is non-existent or under development in Islamic money markets. Studies conducted in this area reveal that there are researchers who insist on excess liquidity management while others rather indicate the difficulty of managing the so-called liquidity. Yet they all converge on the idea ofestablishing an adequate structure to Islamic money markets and the use of financial instruments for optimal liquidity management. Through this communication, we will try to present, first, a summary of the dilemma of liquidity management in Islamic banks; and secondly, the contributions of Islamic money market to this inevitable conclusion to Islamic banks. Keywords: Islamic bank...
Stock Market volatility has been extensively studied in finance literature. In this paper, we est... more Stock Market volatility has been extensively studied in finance literature. In this paper, we estimate Moroccan Stock Market return volatility by using Single-State GARCH models and Markov Regime Switching GARCH models. We proposed Back Propagation Neural Network algorithms to improve volatility forecasting of GARCH class models. The BPNN is combined with GARCH in such a way prediction of GARCH models is used as input of our Neural Network. Three volatility estimators are used for this purpose: Absolute return, Parkinson and Garman Klass. The forecasting accuracy of the models is examined using Mean Square Errors (MSE). The results indicate the efficiency of the neural network in enhancing the performance of GARCH models. The findings further clarify the superiority of the marriage of MRS-GARCH and EGARCH with neural network over considered models.
The majority of Muslim countries face increasing pressure on their budget, which pushes to more p... more The majority of Muslim countries face increasing pressure on their budget, which pushes to more public spending. Eventually, the main victim of this situation will be the welfare of Muslim communities. Despite Islam does not tolerate negligence regarding the importance of State as major player in preserving the welfare of Muslim communities, it offers a third option to support public effort through the institution of Waqf. Indeed, this institution has played a crucial role all along Muslim civilization and it is invited to more innovation to answer to today’s challenges. Sukuk-Waqf can be seen as the perfect sustainable financing instrument offered by Islam to help sustain public spending by the people and for the people. This paper will try to examine the concept of Waqf, cash Waqf and Sukuk Waqf is Islam and their evolution during Muslim civilization. Finally, it will go through modern attempts to implement this model that can answer the need for financing to support public effort...
PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19... more PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions.Design/methodology/approachThe author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020.FindingsThe regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis c...
This paper aims to study the impact of endogenous and exogenous factors on the default probabilit... more This paper aims to study the impact of endogenous and exogenous factors on the default probability through the structural approach (Internal Ratings-Based IRB). The study is conducted using data from listed companies on the Stock Exchange of Casablanca (BVMC); it covers the period from the beginning to the end of 2017. In this paper, we propose a numerical method, based on Monte Carlo simulation, to estimate the default probabilities using the Black & Scholes (1973) model. Our focus was on determining the most influential factors among the internal or external ones that impact the default probability of the listed non-financial companies on BVMC. JEL classification numbers: D81Keywords: Default probability, credit risk, IRB approach, Monte Carlo simulation.
L’objectif de cet article est d’etudier les differences de performance entre les indices islamiqu... more L’objectif de cet article est d’etudier les differences de performance entre les indices islamiques et leurs homologues conventionnels pour 20 pays emergents et 20 pays developpes sur la periode s’etalant d’Avril 2002 a Juin 2016. L’estimation de la dynamique de la volatilite par le modele EGARCH, suggere la presence d’une asymetrie entre le rendement et la volatilite et ce pour les indices conventionnels et les indices islamiques. En outre, les tests parametriques et non parametriques suggerent qu'ils n'existe pas de differences entre les rendements et les volatilites des deux types d'indices. Par ailleurs, les differentes mesures des rendements ajustes au risque indiquent que le rendement des indices islamiques ne permettent pas de surpasser ceux des taux sans risque. De plus, les Betas des modeles d’evaluation des actifs financiers (MEDAF) sont inferieurs a l'unite, stipulant ainsi que les variations des cours des indices islamiques sont generalement moins pr...
Cette recherche porte sur le role de la fidelisation par les produits et par les services bancair... more Cette recherche porte sur le role de la fidelisation par les produits et par les services bancaires dans la perennite de la relation entre la banque et ses clients "PME" et par consequent dans l’amelioration de la performance commerciale des banques de la region Souss Massa. L’etude a ete realisee aupres d’un echantillon de quatre-vingt-deux PME exercant dans divers domaines d’activite dans la region Sous Massa au Maroc. Les resultats montrent la place importante de la fidelisation par les services bancaires dans la durabilite de la relation et dans l’amelioration de la performance commerciale. Il semble que sans la qualite de service, il n’y aura pas de relations perennes avec les clients « PME ». La banque doit accorder une attention a la dimension qualitative de la relation client et en particulier a l’accueil, la prise en charge, la qualite de conseil et la reactivite.
Abstract. Financial markets in emerging countries are generating considerable literature, aiming ... more Abstract. Financial markets in emerging countries are generating considerable literature, aiming to understand their organization, perspective, and performance. In this context, few studies have expressed interest in the Moroccan financial market and even fewer researches have addressed the issue of the Moroccan financial market volatility. In this paper, we investigate variety of common properties, labelled as “stylized facts. Our results show that global and sectoral indices of Moroccan Stock Market share the majority of stylized facts. In fact, absolute returns correlation coefficients are positive and tends to decay at a much slower pace. Hence, volatility of Moroccan Stock Market captures the properties of volatility clustering and long memory. We also find evidence of volatility asymmetry. Yet, the level is not statistically significant for most of the indices. More interestingly, the Omori law indicates that Moroccan Stock market is relatively stable after financial shocks. K...
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