Randomness in denoised stock returns: The case of Moroccan family business companies

In this paper, we scrutinize entropy in family business stocks listed on Casablanca stock exchange and market index to assess randomness in their returns. For this purpose, we adopt a novel approach based on combination of stationary wavelet transform and Tsallis entropy for empirical analysis of the return series. The obtained empirical results show strong evidence that their respective entropy functions are characterized by opposite dynamics. Indeed, the information contents of their respective dynamics are statistically and significantly different. Obviously, information on regular events carried by family business returns is more certain, whilst that carried by market returns is uncertain. Such results are definitively useful to understand the nonlinear dynamics on returns on family business companies and those of the market. Without a doubt, they could be helpful for quantitative portfolio managers and investors.