Faits stylisés et dynamique de la volatilité du marché boursier marocain : comparaison du MASI, des indices sectoriels, du Brent et du WTI

Abstract

This study examines whether Moroccan stock returns exhibit volatility and distributional characteristics distinct from those of international crude oil markets. Over 2020–2023, it compares the MASI, the Oil & Gas and Transport sector indices, and the Brent and WTI benchmarks, using descriptive statistics, unconditional correlations, and Jarque–Bera, Augmented Dickey–Fuller, Ljung–Box and ARCH-LM tests. The results reveal generalized non-Gaussian behavior across all five series, characterized by skewness, fat tails and extreme observations. The Oil & Gas index shows the highest volatility, while the MASI displays particularly high kurtosis. Correlation is strongest between Brent and WTI but close to zero between the MASI and oil prices. Significant ARCH effects are found in the Moroccan indices, but not in Brent or WTI. Moroccan stock market volatility therefore does not simply mirror oil price fluctuations; domestic sectoral indices exhibit their own volatility dynamics. These findings offer useful insights for investors, risk managers and policymakers.