How COVID-19 Affected Moroccan Stock Market An empirical inquiry
DOI:
https://doi.org/10.33736/ijbs.7628.2024Keywords:
Morocco, ARDL model, stock market, Covid-19, cointegrationAbstract
In this study, we explored how COVID-19 influenced Morocco's stock market by employing an ARDL (Autoregressive Distributed Lag) model. We used daily series data collected from March 5, 2020, to June 30, 2021, as the dataset in this study. Results showed that, in the long run, an increase in new cases and deaths adversely affected the stock market. Furthermore, controlled variables such as the exchange rate had a negative influence on the Moroccan stock market, whereas Standard & Poor's had a positive impact. Our findings are important for policymakers, governmental authorities, and investors as they shed light on how emerging stock markets, such as Morocco's, responded during periods of uncertainty.
References
Agarwalla, S. K., Varma, J. R., & Virmani, V. (2021). The impact of COVID-19 on tail risk: Evidence from Nifty index options. Economics Letters, 204, 109878. https://doi.org/10.1016/j.econlet.2021.109878
https://doi.org/10.1016/j.econlet.2021.109878
Akhtaruzzaman, M., Hajzler, C., & Owen, P. D. (2018). Does institutional quality resolve the Lucas Paradox? Applied Economics, 50(5), 455-474. https://doi.org/10.1080/00036846.2017.1321840
https://doi.org/10.1080/00036846.2017.1321840
Al Janabi, M. A. M. (2006). Internal risk control benchmark setting for foreign exchange exposure: The case of the Moroccan Dirham. Journal of Financial Regulation and Compliance, 14(1), 84-111. https://doi.org/10.1108/13581980610644789 Al-alawnh, N. A. K., Habibullah, M. S., & Sapar, R. (2023). Impact of COVID-19 on Morocco's Currency Exchange Rate: An ARDL Approach. International Journal of Academic Research in Accounting, Finance and Management Sciences, 13(4), 210-224. http://dx.doi.org/10.6007/IJARAFMS/v13-i4/19600 Al-Alawnh, N. A. K., Habibullah, M. S., Sapar, R., Salameh, S. R., & Alzu'bi, S. K. (2024). Empirical analysis of government interventions on Jordan's stock market during the COVID-19 pandemic: An ARDL approach. Asian Journal of Economic Modelling, 12(1), 76-92. https://doi.org/10.55493/5009.v12i1.4992 Banerjee, A. (1986). Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence. Oxford Bulletin of Economics and Statistics, 48(3), 253-277. https://doi.org/10.1111/j.1468-0084.1986.mp48003005.x
https://doi.org/10.1111/j.1468-0084.1986.mp48003005.x
Banerjee, A. K. (2021). Futures market and the contagion effect of COVID-19 syndrome. Finance Research Letters, 43, 102018. https://doi.org/10.1016/j.frl.2021.102018
https://doi.org/10.1016/j.frl.2021.102018
Banerjee, A., Dolado, J., & Mestre, R. (1998). Error‐correction mechanism tests for cointegration in a single‐equation framework. Journal of Time Series Analysis, 19(3), 267-283. https://doi.org/10.1111/1467-9892.00091
https://doi.org/10.1111/1467-9892.00091
Belcaid, K., & El Ghini, A. (2021). 'Macro-finance determinants and the stock market development: evidence from Morocco.' Middle East Development Journal, 13(1), 99-127. https://doi.org/10.1080/17938120.2021.1898191
https://doi.org/10.1080/17938120.2021.1898191
Bouhlal, F., & Sedra, M. B. (2022). The effect of the COVID-19 epidemic on Moroccan sectoral indices: The entropy approach. Investment Management and Financial Innovations, 19(4), 232-243. https://doi.org/10.21511/imfi.19(4).2022.19
https://doi.org/10.21511/imfi.19(4).2022.19
Boumlik, Z., Oulhadj, B., & Colot, O. (2023). The effect of the COVID-19 pandemic on Corporate Dividend Policy of Moroccan listed firms. Journal of Risk and Financial Management, 16(8), 1-17. https://doi.org/10.3390/jrfm16080350
https://doi.org/10.3390/jrfm16080350
Bourghelle, D., Jawadi, F., & Rozin, P. (2021). Oil price volatility in the context of Covid-19. International Economics, 167(April), 39-49. https://doi.org/10.1016/j.inteco.2021.05.001 Burbidge, J. B., Magee, L., & Robb, A. L. (1988). Alternative transformations to handle extreme values of the dependent variable. Journal of the American statistical Association, 83(401), 123-127. https://doi.org/10.2307/2288929
https://doi.org/10.2307/2288929
Burger, M., F. Van Oort, and G.-J. Linders. 2009. On the Specification of the Gravity Model of Trade: Zeros, Excess Zeros and Zero-Inflated Estimation. Spatial Economic Analysis, 4(2), 167-190. https://doi.org/10.1080/17421770902834327
https://doi.org/10.1080/17421770902834327
Busse, M., & Hefeker, C. (2007). Political risk, institutions and foreign direct investment. European Journal of Political Economy, 23(2), 397-415. https://doi.org/10.1016/j.ejpoleco.2006.02.003
https://doi.org/10.1016/j.ejpoleco.2006.02.003
Curto, J. D., & Serrasqueiro, P. (2022). The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model. Finance Research Letters, 46(PA), 102247. https://doi.org/10.1016/j.frl.2021.102247
https://doi.org/10.1016/j.frl.2021.102247
Dreger, C., & Gros, D. (2021). Lockdowns and the US Unemployment Crisis. Economics of Disasters and Climate Change, 5(3), 449-463. https://doi.org/10.1007/s41885-021-00092-5
https://doi.org/10.1007/s41885-021-00092-5
Fadali, M. A., & Bakir, M. A. (2021). Impact of the covid-19 crisis on the Moroccan stock market: Modeling the volatility of the M.A.S.I stock market index. International Journal of Accounting, Finance, Auditing, Management and Economics, 2(1), 100-108. https://doi.org/10.5281/zenodo.4474606
Fakhfekh, M., Jeribi, A., & Salem, M. Ben. (2021). Volatility dynamics of the Tunisian stock market before and during the COVID-19 outbreak: Evidence from the GARCH family models. International Journal of Finance & Economics, 1, 1-14. https://doi.org/10.1002/ijfe.2499 Ftiti, Z., Ameur, H. B., & Louhichi, W. (2021). Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market. Economic Modelling, 99, 105484. https://doi.org/10.1016/j.econmod.2021.03.003
https://doi.org/10.1016/j.econmod.2021.03.003
Habibullah, M. S., Lau, E., Din, B. H., Rahman, M. D. A., & Shah, M. A. I. (2022). Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models. Revista Portuguesa de Estudos Regionais, 60, 9-31.
https://doi.org/10.59072/rper.vi60.338
Habibullah, M. S., Saari, M. Y., Safuan, S., Din, B. H., & Mahomed, A. S. B. (2021). Loss of employment, lockdown measures and government responses in Malaysia during the COVID-19 pandemic: A note. International Journal of Business and Society, 22(3), 1525-1549. https://doi.org/10.33736/ijbs.4320.2021
https://doi.org/10.33736/ijbs.4320.2021
Harabida, M., & Radi, B. (2020). The Covid-19 Pandemic and the Moroccan Financial Market: An Event Study. International Journal of Applied Economics, Finance and Accounting, 7(2), 90-96. https://doi.org/10.33094/8.2017.2020.72.90.96
https://doi.org/10.33094/8.2017.2020.72.90.96
Hassan, M. K., Rabbani, M. R., & Abdulla, Y. (2021). Socioeconomic Impact of COVID-19 in MENA region and the Role of Islamic Finance. International Journal of Islamic Economics and Finance (IJIEF), 4(1), 51-78. https://doi.org/10.18196/ijief.v4i1.10466
https://doi.org/10.18196/ijief.v4i1.10466
Hssain, L. B., Agouram, J., & Lakhnati, G. (2022). Impact of COVID-19 pandemic on Moroccan sectoral stocks indices. Scientific African, 17, e01321. https://doi.org/10.1016/j.sciaf.2022.e01321
https://doi.org/10.1016/j.sciaf.2022.e01321
Khalil, N.B. (2021). The COVID-19's Spillover Effects on Industry Indices Returns: Evidence from Casablanca Stock Exchange: African Scientific Journal, 3(4), 505-505. https://doi.org/10.5281/zenodo.5642857.
Kremers, J. J., Ericsson, N. R., & Dolado, J. J. (1992). The power of cointegration tests. Oxford bulletin of economics and statistics, 54(3), 325-348.
https://doi.org/10.1111/j.1468-0084.1992.tb00005.x
Lahmiri, S., & Bekiros, S. (2020). Nonlinear analysis of Casablanca Stock Exchange, Dow Jones and S&P500 industrial sectors with a comparison. Physica A: Statistical Mechanics and Its Applications, 539, 122923. https://doi.org/10.1016/j.physa.2019.122923
https://doi.org/10.1016/j.physa.2019.122923
Lee, K. Y. M., Jais, M., & Chan, C. W. (2020). Impact of covid-19: Evidence from malaysian stock market. International Journal of Business and Society, 21(2), 607-628.
https://doi.org/10.33736/ijbs.3274.2020
Li, C., Su, Z. W., Yaqoob, T., & Sajid, Y. (2022). COVID-19 and currency market: a comparative analysis of exchange rate movement in China and USA during pandemic. Economic Research-Ekonomska Istrazivanja, 35(1), 2477-2492. https://doi.org/10.1080/1331677X.2021.1959368
https://doi.org/10.1080/1331677X.2021.1959368
Malik, K., Sharma, S., & Kaur, M. (2022). Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach. Journal of Economic Studies, 49(2), 227-242. https://doi.org/10.1108/JES-05-2020-0246
https://doi.org/10.1108/JES-05-2020-0246
Mehdi, A., Gheraia, Z., Abdelli, H., Sekrafi, H., & Diaw, A. (2022). COVID-19 pandemic and economic impacts in Arab countries: Challenges and policies. Research in Globalization, 5(February 2021), 100103. https://doi.org/10.1016/j.resglo.2022.100103
https://doi.org/10.1016/j.resglo.2022.100103
Mensi, W., Al-Yahyaee, K. H., Vo, X. V., & Kang, S. H. (2021). Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications. Economic Analysis and Policy, 71, 397-419. https://doi.org/10.1016/j.eap.2021.06.001 Mugiarni, A., & Wulandari, P. (2021). The Effect of Covid-19 Pandemic on Stock Returns: An Evidence of Indonesia Stock Exchange. Journal of International Conference Proceedings, 4(1), 28-37. https://doi.org/10.32535/jicp.v4i1.1122
https://doi.org/10.32535/jicp.v4i1.1122
Obiakor, R. T., Okere, K. I., Muoneke, O. B., & Nwaeze, N. C. (2022). Accounting for the symmetric and asymmetric effects of FDI-growth nexus amidst financial crises, economic crises and COVID-19 pandemic: application of hidden co-integration. Future Business Journal, 8(1), 16. https://doi.org/10.1186/s43093-022-00131-x
https://doi.org/10.1186/s43093-022-00131-x
Onyeaka, H., Anumudu, C. K., Al-Sharify, Z. T., Egele-Godswill, E., & Mbaegbu, P. (2021). COVID-19 pandemic: A review of the global lockdown and its far-reaching effects. Science Progress, 104(2), 1-18. https://doi.org/10.1177/00368504211019854
https://doi.org/10.1177/00368504211019854
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289- 326. https://doi.org/10.1002/jae.616
https://doi.org/10.1002/jae.616
Robinson, K. R. (2021). Comparing the Spanish flu and COVI ‐19 pandemics: Lessons to carry forward. In Nursing Forum, 56(2),350-357. https://doi.org/10.1111/nuf.12534
https://doi.org/10.1111/nuf.12534
Safuan, S., Habibullah, M. S., & Sugandi, E. A. (2022). Eradicating tax evasion in Indonesia through financial sector development. Cogent Economics and Finance, 10(1). https://doi.org/10.1080/23322039.2022.2114167
https://doi.org/10.1080/23322039.2022.2114167
Samargandi, N., Fidrmuc, J., & Ghosh, S. (2015). Is the Relationship Between Financial Development and Economic Growth Monotonic? Evidence from a Sample of Middle-Income Countries. World Development, 68(1), 66-81. https://doi.org/10.1016/j.worlddev.2014.11.010
https://doi.org/10.1016/j.worlddev.2014.11.010
Singh, B., Dhall, R., Narang, S., & Rawat, S. (2024). The outbreak of COVID-19 and stock market responses: An event study and panel data analysis for G-20 countries. Global Business Review, 25(3), 606-631. https://doi.org/10.1177/0972150920957274
https://doi.org/10.1177/0972150920957274
Topcu, M., & Serkan, O. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36(May), 101691. https://doi.org/10.1016/j.frl.2020.101691
https://doi.org/10.1016/j.frl.2020.101691
Urom, C., Ndubuisi, G., Del Lo, G., & Yuni, D. (2023). Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic. Emerging Markets Review, 55, 100948. https://doi.org/10.1016/j.ememar.2022.100948
https://doi.org/10.1016/j.ememar.2022.100948
Youssef, M., Mokni, K., & Ajmi, A. N. (2021). Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?. Financial Innovation, 7(1), 13.https://doi.org/10.1186/s40854-021-00227-3
https://doi.org/10.1186/s40854-021-00227-3
Yu, Z., Razzaq, A., Rehman, A., Shah, A., Jameel, K., & Mor, R. S. (2022). Disruption in global supply chain and socio-economic shocks: a lesson from COVID-19 for sustainable production and consumption. Operations Management Research, 15(1-2), 233-248. https://doi.org/10.1007/s12063-021-00179-y
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2024 UNIMAS Publisher
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Copyright Transfer Statement for Journal
1) In signing this statement, the author(s) grant UNIMAS Publisher an exclusive license to publish their original research papers. The author(s) also grant UNIMAS Publisher permission to reproduce, recreate, translate, extract or summarize, and to distribute and display in any forms, formats, and media. The author(s) can reuse their papers in their future printed work without first requiring permission from UNIMAS Publisher, provided that the author(s) acknowledge and reference publication in the Journal.
2) For open access articles, the author(s) agree that their articles published under UNIMAS Publisher are distributed under the terms of the CC-BY-NC-SA (Creative Commons Attribution-Non Commercial-Share Alike 4.0 International License) which permits unrestricted use, distribution, and reproduction in any medium, for non-commercial purposes, provided the original work of the author(s) is properly cited.
3) For subscription articles, the author(s) agree that UNIMAS Publisher holds copyright, or an exclusive license to publish. Readers or users may view, download, print, and copy the content, for academic purposes, subject to the following conditions of use: (a) any reuse of materials is subject to permission from UNIMAS Publisher; (b) archived materials may only be used for academic research; (c) archived materials may not be used for commercial purposes, which include but not limited to monetary compensation by means of sale, resale, license, transfer of copyright, loan, etc.; and (d) archived materials may not be re-published in any part, either in print or online.
4) The author(s) is/are responsible to ensure his or her or their submitted work is original and does not infringe any existing copyright, trademark, patent, statutory right, or propriety right of others. Corresponding author(s) has (have) obtained permission from all co-authors prior to submission to the journal. Upon submission of the manuscript, the author(s) agree that no similar work has been or will be submitted or published elsewhere in any language. If submitted manuscript includes materials from others, the authors have obtained the permission from the copyright owners.
5) In signing this statement, the author(s) declare(s) that the researches in which they have conducted are in compliance with the current laws of the respective country and UNIMAS Journal Publication Ethics Policy. Any experimentation or research involving human or the use of animal samples must obtain approval from Human or Animal Ethics Committee in their respective institutions. The author(s) agree and understand that UNIMAS Publisher is not responsible for any compensational claims or failure caused by the author(s) in fulfilling the above-mentioned requirements. The author(s) must accept the responsibility for releasing their materials upon request by Chief Editor or UNIMAS Publisher.
6) The author(s) should have participated sufficiently in the work and ensured the appropriateness of the content of the article. The author(s) should also agree that he or she has no commercial attachments (e.g. patent or license arrangement, equity interest, consultancies, etc.) that might pose any conflict of interest with the submitted manuscript. The author(s) also agree to make any relevant materials and data available upon request by the editor or UNIMAS Publisher.
