Financial Risk and Dynamics of the Moroccan Stock Market: An Empirical Perspective

Abstract

The primary objective of this article is to identify and quantify the risks associated with price fluctuations of assets listed on the Moroccan market, taking into account its specific characteristics through the application of Value at Risk (VaR). This indicator is widely used in finance to measure the maximum potential loss that a portfolio could incur over a given period, with a specific confidence level.

To achieve this, we explored several methodologies to determine the most suitable one for the Moroccan market. Among these approaches, particular attention was given to the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, which effectively captures volatility variations in financial time series.

Additionally, we conducted an in-depth empirical analysis to better understand the specific features of the Moroccan stock market, particularly in terms of investor behavior, sensitivity to external shocks, and price dynamics. The study relies on historical data and econometric models to analyze the market’s sensitivity. We conducted our study on a sample of daily MASI index prices of 1453 observations for the period 14-12-2015 to 18-10-2021.

The results show that the GARCH-based method stands out for its accuracy in risk measurement, especially in a context where volatility plays a significant role. This study highlights not only the effectiveness of this tool but also the valuable insights gained from its application in an emerging market like Morocco.

This research provides a deeper perspective on the dynamics of the Moroccan stock market and underscores the importance of sound risk management in an environment full of economic challenges.

Keywords: Portfolio Management, Value at risk, GARCH.

Classification JE : C51, G1, G10

Paper type: Empirical Research