Impact of the covid-19 crisis on the moroccan stock market

Modeling the volatility of the m.a.s.i stock market index

Abstract

The containment measures taken to combat the Covid-19 outbreak caused an economic and financial crisis at the international scale as well as at the national scale. The purpose of this article is to study and analyze the impact of this pandemic crisis on the Moroccan stock market and to show to what extent the containment decisions have negatively impacted the performance of the stock market. We proposed an approach that introduces the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model to estimate the volatility of the Moroccan All Shares Index (MASI) caused by the uncertainty of the financial situation following the pandemic. The results show that during the study period, the value of the stock market index signaled a significant shock during the period of containment and a high volatility of its profitability, followed by a period of partial recovery after de-containment.