How do Brent crude oil trends affect the Moroccan stock market?

Résumé

This study explores the impact of Brent crude oil market trends on the Moroccan stock market, focusing on both the overall MASI index and its sector-specific MASI Oil index, using Multifractal Detrended Asymmetric Cross-Correlation Analysis (MF-ADCCA). The initial analysis of cross-correlations between Brent and the MASI/MASI OIL indices revealed significant long-range dependencies, indicating a strong interconnection between Brent and the two indices. Asymmetric DCCA cross-correlation coefficients further revealed asymmetric and persistent cross-correlations across different time scales, emphasizing the long-range dependencies between Brent and the two indices under varying market conditions. The MF-ADCCA analysis, which included generalized Hurst exponents, Rényi exponents, and singularity spectrum functions, showed that the cross-correlations exhibited multifractal behavior across all orders of fluctuations, highlighting the complexity of their interactions. In the monofractal case, the analysis of uptrend and downtrend fluctuation functions demonstrated distinct behaviors across all time scales, reinforcing the presence of asymmetry in the cross-correlations between Brent and the two Moroccan indices. Additionally, the generalized Hurst exponents for uptrend and downtrend periods showed nonlinear decreases throughout the fluctuation range, further signifying multifractal characteristics during both bullish and bearish market phases. The graphical analysis confirmed that the uptrend and downtrend generalized exponents exhibited distinct patterns, surrounding the overall generalized Hurst exponent, indicating that correlations between Brent and the indices vary depending on the direction of the Brent market trend. These findings highlight the asymmetric nature of the cross-correlations, which are contingent on market conditions. The implications for investors, fund managers, policymakers, and Morocco's economic resilience are significant, offering insights into navigating oil price volatility and strengthening financial stability.