Macroeconomic Indicators as Business Intelligence Tools for Forecasting Moroccan Stock Market Returns: Evidence from Time-Series Analysis

This study examines the impact of key macroeconomic indicators—namely oil prices and exchange rate—on stock market returns in Morocco. Using monthly data over the period 2002–2022, the analysis applies both Ordinary Least Squares (OLS) and Autoregressive Distributed Lag (ARDL) models to investigate the short-run and long-run relationships between these variables and MASI returns.

The empirical results indicate that oil prices and exchange rate exert a statistically significant and negative effect on stock market returns in the OLS framework. However, the ARDL model provides deeper insights by capturing dynamic relationships. The findings reveal that oil prices have a delayed negative impact on stock returns, while the exchange rate exhibits a significant and immediate negative effect.

The ARDL bounds test confirms the existence of a long-run equilibrium relationship among the variables, suggesting that stock returns, oil prices, and exchange rate move together over time. Furthermore, the Error Correction Model (ECM) results indicate a strong adjustment mechanism, with deviations from long-run equilibrium corrected rapidly.

Overall, the study highlights the importance of macroeconomic indicators as useful tools for understanding and forecasting stock market performance in Morocco. The findings provide valuable implications for policymakers and investors in managing market risks and improving decision-making.

Macroeconomic indicators; Stock market returns; MASI; Oil prices; Exchange rate; Morocco.

1. Adjasi, C. K. D., Harvey, S. K., & Agyapong, D. (2011). Effect of exchange rate volatility on the Ghana stock exchange. African Journal of Accounting, Economics, Finance and Banking Research, 7(7), 28–47. [Google Scholar] [Crossref]

2. Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17(2), 224–251. [Google Scholar] [Crossref]

3. Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383–403. [Google Scholar] [Crossref]

4. Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960–971. [Google Scholar] [Crossref]

5. Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71(4), 545–565. [Google Scholar] [Crossref]

6. Hamilton, J. D. (2009). Causes and consequences of the oil shock of 2007–08. Brookings Papers on Economic Activity, 40(1), 215–261. [Google Scholar] [Crossref]

7. Mukherjee, T. K., & Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market. Journal of Financial Research, 18(2), 223–237. [Google Scholar] [Crossref]

8. Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449–469. [Google Scholar] [Crossref]