The volatility of the moroccan stock market during the COVID-19 health crisis

Abstract

The various measures adopted by international and national bodies worldwide to counteract the major effects of the Covid-19 epidemic have triggered a large-scale economic and financial crisis at both international and national level. This paper aims to study and analyze the impact of this famous pandemic crisis (health crisis) on the Moroccan stock market, and to show the extent to which containment decisions had a negative impact on stock market performance. We proposed an approach that introduces the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) 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 obtained show that over the period studied, the value of the stock market index reported a significant shock during the containment period and high volatility in its profitability, followed by a period of partial recovery after de-containment.