The répercussion of macroeconomic factors on the performance of the Moroccan stock market: Econometric Study using the VAR Model

La répercussion des facteurs macroéconomiques sur la performance marché boursier marocain: étude économétrique par le modèle VAR

Abdelhadi Alimoussa () and Hicham Assalih ()
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Abdelhadi Alimoussa: Laboratoire des Sciences Economiques et Politiques Publiques (LSEPP) Faculté d’Economie et de Gestion de Kénitra

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Abstract: The essence of this research lies in exploring the macroeconomic factors that exert their influence on the evolution of the stock market in Morocco. To achieve this, we rely on the methodology of time series econometrics, specifically the Vector Autoregressive (VAR) model. The available data spans a period of 21 years, ranging from 2002 to 2022, and has been meticulously extracted from reports originating from various sources, such as the Casablanca Stock Exchange (BVC), the Manar platform of the Ministry of Finance, Bank-Maghreb, the High Commission for Planning (HCP), the World Bank, and the International Monetary Fund (IMF). The conclusions drawn from this investigation prove to be highly enlightening. It is indisputable that key variables such as the Consumer Price Index, Gross National Savings, Gross Domestic Product (GDP), and Real Effective Exchange Rate play a pivotal role in the dynamics of the stock market. Specifically, our inquiry reveals that the Consumer Price Index and Gross National Savings have a positive influence on the development of the stock market. Conversely, GDP and the Real Effective Exchange Rate manifest a negative impact on stock market growth. In conclusion, our work extends to the analysis of causal relationships as well as the decomposition of variances, thereby deepening our understanding of the intricate interactions between these macroeconomic factors and the evolution of the stock market in Morocco.

Keywords: Macroeconomic variables VAR modelling MASI stock index and variance decomposition. Classification JEL : C22; C32; C51; E44 Paper type : Empirical Research; Macroeconomic variables; VAR modelling; MASI stock index and variance decomposition. Classification JEL : C22 (search for similar items in EconPapers)
Date: 2023-08-29
New Economics Papers: this item is included in nep-ara and nep-fdg
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Published in International Journal of Accounting, Finance, Auditing, Management and Economics, 2023, 4, Issue 4-2 (2023),, pp. 581-601. ⟨10.5281/zenodo.8299557⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04192393

DOI: 10.5281/zenodo.8299557

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