The impact of COVID-19 on the topological properties of the Moroccan stock market network

  • Received April 15, 2022;
    Accepted May 7, 2022;
    Published June 14, 2022
  • Author(s)
  • DOI
    http://dx.doi.org/10.21511/imfi.19(2).2022.21
  • Article Info
    Volume 19 2022, Issue #2, pp. 238-249
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This work is licensed under a Creative Commons Attribution 4.0 International License

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.

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    • Figure 1. Before crisis minimum spanning tree of the MSE network (March 1, 2019 to February 28, 2020)
    • Figure 2. Crisis minimum spanning tree of the MSE network (March 2, 2020 to February 16, 2021)
    • Figure 3. After crisis minimum spanning tree of the MSE network (March 1, 2021 to February 18, 2022)
    • Table 1. Summary observations before, during, and after the first year of the COVID-19 pandemic in Morocco and the overall period
    • Table 2. Partition of the data sets into six windows
    • Table 3. Dynamic variation of the mean correlation and distances
    • Table 4. Topological characteristics of the MST corresponding to the six equal windows
    • Table 5. The five highest values of degree centrality for the three periods
    • Table 6. The five highest values of betweenness centrality for the three periods
    • Table A1. The company’s tick symbols, names, and corresponding sectors of the 49 stocks listed on the MADEX index
    • Conceptualization
      Fadwa Bouhlal
    • Formal Analysis
      Fadwa Bouhlal
    • Investigation
      Fadwa Bouhlal
    • Project administration
      Fadwa Bouhlal
    • Supervision
      Fadwa Bouhlal
    • Validation
      Fadwa Bouhlal
    • Writing – original draft
      Fadwa Bouhlal
    • Writing – review & editing
      Fadwa Bouhlal
    • Data curation
      Moulay Brahim Sedra
    • Funding acquisition
      Moulay Brahim Sedra
    • Methodology
      Moulay Brahim Sedra
    • Resources
      Moulay Brahim Sedra
    • Software
      Moulay Brahim Sedra
    • Visualization
      Moulay Brahim Sedra