Macroeconomic Interactions and Stock Market Informational Efficiency in Morocco: A VAR Approach (2000–2023)

Abstract

This study examines the influence of macroeconomic factors on the informational efficiency of the Moroccan stock market in a context of increasing economic and financial instability. Grounded in the Efficient Market Hypothesis (EMH), the research investigates the extent to which the Moroccan stock market incorporates macroeconomic information into asset prices. The empirical analysis is based on the estimation of a Vector Autoregression (VAR) model using annual data covering the period from 2000 to 2023. The variables included in the analysis are the MASI index, economic growth, inflation, the interest rate, and the exchange rate.

The empirical findings reveal a strong persistence in the Moroccan stock market index, reflecting the short-term persistence of shocks. The results also indicate a positive effect of stock market performance on economic growth, whereas inflation, interest rates, and the exchange rate exert a limited and statistically insignificant influence on the MASI index. Furthermore, the absence of a cointegration relationship suggests that the interactions among the variables are essentially short-term in nature, thereby justifying the use of a standard VAR model. This study contributes to the existing literature by providing a dynamic analysis of the transmission mechanisms of macroeconomic shocks to the Moroccan stock market. It also enriches the empirical evidence on the Moroccan context, which remains relatively underexplored, and offers valuable insights into the relationship between the macroeconomic environment and stock market informational efficiency.