Interactions between Financial Risks and the Dynamics of the Moroccan Stock Market: An Empirical Analysis

Abstract

This article investigates the interactions between financial risks and the dynamics of the Moroccan stock market through an empirical approach. Using sectoral indices from the Casablanca Stock Exchange over the period 2010–2024, we analyze the relationship between volatility, contagion, and sectoral behaviors. By employing econometric models (ARCH/GARCH, VAR, and spillover measures), the study highlights the persistence and asymmetry of volatility as well as the transmission of shocks across sectors. The findings reveal that financial risks, whether endogenous (market structure, limited liquidity) or exogenous (global crises, COVID-19, geopolitical tensions), strongly affect the stability and predictability of the Moroccan stock market. These results provide valuable insights for risk management, investment strategies, and financial regulation in Morocco.