Jaouad Madkour

This paper seeks to investigate the dynamics within the Moroccan Stock Exchange (MSE) market topology in crisis and non-crisis periods using daily historical log returns of sectoral indices covering the period from January 4, 1993 to September 9, 2021. The study applies the Agglomerative Hierarchical Clustering (AHC) implemented on the Dynamic Time Warping (DTW) distance matrix over ten sub-periods covering numerous crises, from Subprime mortgage crisis to European debt crisis and finally COVID-19 crisis. The obtained clustering results are gathered into a network to display the cumulated interconnections between the sectoral indices. The findings showed that the Casablanca Stock Exchange (CSE) market clusters composition is dynamic during the studied period. Indeed, some sectoral indices demonstrated evidence of strong similarities by gathering in the same cluster over numerous sub-periods as the couples Electrical & Electronic Equipment and Transport or as Banks and Construction & Building Materials sectoral indices. Moreover, the interconnections of CSE sectoral indices are trend dependent. According to the obtained network, the Oil and Gas demonstrated its centrality.

Type of the article: Research Article

Abstract
Systemic risk has emerged as a significant concern for financial stability, particularly in emerging markets that are susceptible to global financial disruptions. This paper examines the transmission channels of systemic risk within the Moroccan banking sector during significant crises, including the Subprime crisis, the European sovereign debt crisis, and the COVID-19 crisis. This study aims to characterize the Moroccan banking network, determine the key contributors to systemic risk, and analyze the mechanisms through which amplification loops exacerbate systemic risk under stressed market conditions. The complex dynamics of systemic risk transmission are captured by the ∆Conditional Value at Risk approach, which is represented as a directed weighted network, with topology indicators capturing the network position of financial institutions. The results indicate a pronounced core–periphery network, in which Attijariwafa Bank (AWB), Bank of Africa (BOA), and Banque Centrale Populaire (BCP) consistently form significant triangular feedback loops that amplify systemic risk across all examined periods. In-strength and out-strength centrality measures confirm their dominant positions as primary transmitters and receivers of systemic risk. In contrast, peripheral institutions play a comparatively less pronounced role within the network. Overall, the results point to a marked structural concentration of systemic risk within Morocco’s banking network and provide important implications for regulators and policymakers aiming to strengthen macroprudential oversight and safeguard financial stability.