ESG Index Resilience to Market Shocks: A Comparative Econometric Analysis of MASI.ESG and MASI

Résilience des indices ESG face aux chocs de marché: une analyse économétrique comparative entre le MASI.ESG et le MASI

Mohamed Bazi () and Ziyad Chahboun ()
Additional contact information
Mohamed Bazi: UH2C - Université Hassan II de Casablanca = University of Hassan II Casablanca = جامعة الحسن الثاني (ar)
Ziyad Chahboun: UH2C - Université Hassan II de Casablanca = University of Hassan II Casablanca = جامعة الحسن الثاني (ar)

Post-Print from HAL

Abstract: This article examines the resilience of the MASI.ESG index, which integrates environmental, social, and governance (ESG) criteria, compared to the conventional MASI index of the Casablanca Stock Exchange, over the period March 2022–March 2025. This period,marked by the geopolitical shock following the Russo-Ukrainian conflict and subsequent macroeconomic turbulence, provides a privileged framework for testing the hypothesis of a protective role for ESG integration. Three resilience indicators are used: Value at Risk (VaR) adjusted by the Cornish-Fisher correction, the Sharpe ratio, and the Maximum Drawdown. Conditional volatility modeling relies on the EGARCH and TGARCH specifications, adapted to capture asymmetry in the response to shocks. The empirical results reveal significantly lower volatility for the MASI.ESG, a lower VaR reflecting more limited exposure to extreme risk, and a slightly less unfavorable Sharpe ratio. The post-shock recovery period is also shorter for the MASI.ESG (416 days versus 458).Overall, the results suggest that integrating ESG criteria can contribute to financial resilience and relative market stability during periods of turbulence. The article delves deeper into the transmission channels of this resilience, examining the role of idiosyncratic risk reduction, sector composition, and governance quality. The limitations related to ESG rating divergence between agencies and the risk of greenwashing are discussed. Recommendations are formulated for institutional investors and regulators, placing them within the context of international regulatory developments, particularly the European CSRD directive

Keywords: TGARCH; Value at Risk; African Scientific Journal; EGARCH; Financial resilience; ESG index; Indices ESG; Résilience financière (search for similar items in EconPapers)
Date: 2026-05-21
Note: View the original document on HAL open archive server: https://hal.science/hal-05631234v1
References: Add references at CitEc
Citations:

Published in African Scientific Journal, inPress, 3 (36), ⟨10.5281/zenodo.20323426⟩

Downloads: (external link)
https://hal.science/hal-05631234v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05631234

DOI: 10.5281/zenodo.20323426

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().