Adil Outla and Moustapha Hamzaoui
This paper aims to provide a theoretical conception that establishes growth rate dynamics for co-operatives and studies Moroccan co-operatives’ start-ups and closures, by…
Abstract
Purpose
This paper aims to provide a theoretical conception that establishes growth rate dynamics for co-operatives and studies Moroccan co-operatives’ start-ups and closures, by analyzing the co-operatives’ growth rate speed of adjustment (SOA).
Design/methodology/approach
This paper documents the basic patterns of entry and exit flow for agricultural, artisanal, housing and fishery co-operatives; highlights, with econometric tests, whether co-operatives’ growth rate is mean reverting or a unit root random walk; and estimates the growth rate adjustment speed, using a quadratic interval reverting model to capture both the upward and downward speeds of adjustment.
Findings
The empirical results indicate that co-operatives’ growth rate is significantly mean reverting for all sectors. Also, it concludes that the upward and downward adjustment speeds are significantly different within and between sectors, with negative indicator for artisanal co-operatives. The paper discusses these results, which are of interest to academics and policymakers.
Research limitations/implications
The study does not investigate the causes of the growth rate SOA. Further, in-depth work with the results of this study would help scholars and policymakers to get close to the accurate research questions that characterize the mean reverting and affects the adjustment processes for Moroccan co-operatives.
Practical implications
The suggested model – with upward and downward adjustment speeds– could be valuable for policymakers’ strategies on co-operatives’ emergence.
Social implications
The paper moves policymakers closer to social work and socio-economic trends to explain the empirical regularities of co-operatives’ dynamics. The model could be of value to avoid a volatile rate of entries and exits, to ensure continuity, to avoid fast failure of co-operative memberships and then to achieve the social inclusion.
Originality/value
The paper provides empirical evidence and results for co-operatives’ start-ups and closures adjustment speed and determines the conditions in which government policy must be clarified and specified. To the best of the authors’ knowledge, this paper is the first empirical analysis for the co-operatives’ SOA over entry and exit dynamics.
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Issam Bousalam and Moustapha Hamzaoui
This paper aims to expand the literature on performance and volatility of Islamic funds and indices in comparison to their conventional unscreened counterparts, by studying the…
Abstract
Purpose
This paper aims to expand the literature on performance and volatility of Islamic funds and indices in comparison to their conventional unscreened counterparts, by studying the Moroccan case considering the recent introduction of Islamic finance in the country toward the end of 2015.
Design/methodology/approach
As there are still no Shariah-compliant indices in Morocco, the authors first applied four Shariah screening methodologies of some of the world leading equity index providers (i.e. Dow Jones, FTSE, S&P and MSCI) to screen the public listed companies in Casablanca Stock Exchange for Shariah compliance. Next, the authors constructed four Islamic float-weighted indexes for which they modeled the dynamic volatility using an extension of the AutoRegressive Conditional Heteroskedasticity models, namely, EGARCH(1,1).
Findings
The findings show that the screening process resulted in a well-diversified universe of Shariah-compliant stocks (25.6 per cent) to invest in. Furthermore, it is found that constructed Islamic indices outperformed the broad-based Moroccan All Shares Index (MASI) during the considered period of analysis (January 2013 to December 2014), and their long-run volatility is higher. This indicates that investors in Shariah-compliant stocks do not sacrifice financial performance for their risky investment. The estimates of the model show that volatility for the MASI is more persistent and takes longer time to die, and the leverage effect is positive for all indices, meaning that volatility of indexes’ returns is influenced more by good news than bad news, a result that is in contrast to other studies for developed countries.
Practical implications
On the arrival of the new banking law that introduced Islamic finance for the first time in Morocco, the authors suppose that these results could be very helpful for the Moroccan financial authorities in consideration with the construction of Islamic equity indices for Muslim investors seeking to invest ethically in accordance to their religious convictions but also for index funds managers and other equity market players.
Originality/value
The present study is the first of its kind in Morocco to construct Islamic indices using Shariah screening methodologies for which the volatility is modeled using an EGARCH(1,1) dynamic volatility model.