Statistical Modeling of Stock Market Liquidity: The Case of Morocco
In this article, we aim to present a statistical model of stock market liquidity applied to the Moroccan financial market. Our objective is to analyze the key factors that influence liquidity and develop a model that predicts the future liquidity of financial assets in this market. Through a quantitative approach based on econometric methods, we seek to provide decision-making tools for both investors and regulators. Indeed, stock market liquidity is a crucial aspect of financial markets, with significant implications for investors, financial institutions, and market stability. It reflects the ease with which an asset can be bought or sold without significantly impacting its price. High liquidity is generally preferred as it allows for quick and efficient transaction execution. In this regard, providing a concise and statistically comprehensive model that confirms or disproves hypotheses regarding the influence of selected explanatory variables on stock market liquidity is of great interest in understanding the relationships between liquidity measures such as price spreads, trading volumes, bid-ask spreads, and relevant explanatory variables. It should be noted that the data considered covers the period 2015-2022.
Keys words: Stock Market Liquidity; Statistical Modeling; Financial Market; Trading Volume; Bid-Ask Spread.
JEL classification: G1 C51 C52
Article type: Empirical Research
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