Efficiency of the moroccan stock market: identification of rational bubble through a non-parametric approach

The information efficiency of the financial markets is the foundation of modern finance. However, each bubble that forms and takes the time to develop before bursting, thus generating a financial crisis, comes to challenge the hypotheses that constitute this theory. The purpose of this work is to test the main index of the Moroccan stock market, Moroccan All Shares Index (MASI), in order to verify the efficiency hypothesis by examining whether bubbles can be detected. While the unit root tests highlighted mitigated conclusions about the random market model, cointegration tests rejected the hypothesis of a long-term relationship between prices and dividends. The results of the Generalized Sup Augmented Dickey-fuller (GSADF) test applied to the MASI enabled the detection of a bubble. Also, the dating strategy delimits it over a period going from the end of 2006 to the beginning of 2008. Thus, the hypothesis of informational efficiency in the case of Moroccan stock market cannot be accepted.