Fadwa Bouhlal

This paper investigates the topological evolution of the Casablanca Stock Exchange (СSE) from the perspective of the Coronavirus 2019 (COVID-19) pandemic. Cross-correlations between the daily closing prices of the Moroccan most active shares (MADEX) index stocks from March 1, 2016 to February 18, 2022 were used to compute the minimum spanning tree (MST) maps. In addition to the whole sample, the analysis also uses three sub-periods to investigate the topological evolution before, during, and after the first year of the COVID-19 pandemic in Morocco. The findings show that, compared to other periods, the mean correlation coefficient increased remarkably through the crisis period; inversely, the mean distance decreased in the same period. The MST and its related tree length support the evidence of the star-like structure, the shrinkage of the MST in times of market turbulence, and an expansion in the recovery period. Besides, the CSE network was less clustered and homogeneous before and after the crisis than in the crisis period, where the banking sector held a key role. The degree and betweenness centrality analysis showed that Itissalat Al-Maghrib and Auto Hall were the most prominent stocks before the crisis. On the other hand, Attijariwafa Bank, Banque Populaire, and Cosumar were the leading stocks during and after the crisis. Indeed, the results of this study can be used to assist policymakers and investors in incorporating subjective judgment into the portfolio optimization problem during extreme events.

The current study investigates the impact of the Coronavirus 2019 (COVID-19) pandemic on the volatility of Moroccan stock market sectoral indices. Shannon entropy with multiple estimators and Rényi entropy for different scales were calculated from February 1, 2019 to May 1, 2022, to measure volatility in the Banking, Oil and Gas, Construction and Building Materials, Beverage, Food Producers and Processors, Distributors, and Mining sector’s indices. In this regard, this study uses three periods to quantify the uncertainty in Moroccan sectoral indices before, during, and after the first year of the COVID-19 pandemic in Morocco. The empirical results from Shannon and Rényi entropies indicated higher volatility during the COVID-19 pandemic for all sectoral indices except Oil and Gas. However, the consumer staples sectors have shown a form of resilience compared to other sectors. Indeed, the impact of COVID-19 on the consumer staples sectoral indices’ volatilities was negligible compared to other sectors. In addition, investing in a portfolio composed of Mining or Construction and Building Materials stocks was risky due to the increased volatility before and during the epidemic. However, after the COVID-19 pandemic, the entropy level corresponding to all sectors has rearranged except the Beverage sector, which kept the lowest entropy during the three periods. Thus, it seems that the Beverage sector was a safe investment for the three periods. The findings are crucial for governments, businesses, private and public authorities, and investors to create recovery action plans for sensitive sectors and give investors trust to make smarter investment decisions.