The Covid-19 Pandemic and the Moroccan Financial Market: An Event Study

Abstract

The history of global health crises has been aggravated by the spread of the new coronavirus pandemic (Covid-19), which caused disruptions in the economic and financial systems of the various countries, particularly the financial markets. This paper examines the impact of the spread of the pandemic, in the Moroccan context, on its financial market from February 24, 2020 to May 5, 2020. We use the day of the outbreak of the state of health emergency in Morocco, March 16, 2020, as the day of the event. In order to evaluate the reaction of the prices of companies listed on the Casablanca Stock Exchange, we use the event study methodology which is based mainly on the calculation of the daily abnormal returns of each company, and cumulate them over an event window in order to test their statistical significance. Our conclusions confirm the negative influence of the Covid-19 pandemic on the Moroccan financial market. We find that the market reactions are more important on short event windows, especially on the days surrounding the date of the event, while the reaction is less important on long event windows.