AFRICAN JOURNAL OF ECONOMICS AND FINANCIAL ISSUES

This study assesses the impact of the COVID-19 pandemic on weak-form informational efficiency and the structural stability of the Moroccan stock market, through an analysis of monthly returns of the MASI index over the period 2010–2023. Using an econometric methodology based on stationarity tests (ADF, PP), multiple linear regressions, and the Chow test, the objective is to determine whether the exogenous shock caused by the health crisis led to a structural break in the relationship between stock returns and key macroeconomic determinants (policy rate, required reserve ratio, reserve remuneration, closing price). The results show that returns remain stationary despite increased post-COVID volatility, and that only certain variables—particularly the policy rate and the required reserve ratio—retain a significant impact on returns. The Chow test does not identify any structural break between the pre- and post-pandemic periods, suggesting that the relationship between the explanatory variables and returns remained largely stable. These findings indicate a notable resilience of the Moroccan stock market in the face of the COVID-19 shock and confirm that weak-form efficiency can persist even during crises, provided that price formation mechanisms remain functional. The study thus contributes to the literature on emerging markets during periods of turbulence, highlighting the relative robustness of the MASI index.

Keywords: informational efficiency, covid-19 pandemic, masi, chow test, moroccan stock market, financial returns, return stability
JEL Classification: D53, D80, G14