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

  • Abdelhadi ALIMOUSSA Faculty of Economics and Management, Ibn Tofail University of Kenitra, Morocco https://orcid.org/0009-0007-1506-6570
  • Hicham ASSALIH Faculty of Economics and Management, Ibn Tofail University of Kenitra, Morocco

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

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Author Biographies

Abdelhadi ALIMOUSSA, Faculty of Economics and Management, Ibn Tofail University of Kenitra, Morocco

                     Laboratoire des Sciences Economiques et Politiques Publiques (LSEPP)

Hicham ASSALIH, Faculty of Economics and Management, Ibn Tofail University of Kenitra, Morocco

                     Laboratoire des Sciences Economiques et Politiques Publiques (LSEPP)

Published
2023-08-29
How to Cite
ALIMOUSSA, A., & ASSALIH, H. (2023). The répercussion of macroeconomic factors on the performance of the Moroccan stock market: Econometric Study using the VAR Model. International Journal of Accounting, Finance, Auditing, Management and Economics, 4(4-2), 581-601. https://doi.org/10.5281/zenodo.8299557