Time-Varying Connectedness and Hedging Properties of Commodities in the Moroccan Stock Market Sectors

• Analyzes time-varying spillovers between ten Moroccan stock market sectors and seven major global commodities using a TVP-VAR connectedness framework. • Shows that connectedness is moderate in stable periods but intensifies notably during COVID-19 and the Russia–Ukraine war, revealing stronger co-movements across markets. • Finds that Banks are persistent shock transmitters, while Mining and Pharmaceuticals gain influence during COVID-19 and agricultural commodities dominate during the Russia–Ukraine war. • Demonstrates that commodity-based hedging is limited and crisis-dependent, with hedging effectiveness varying substantially across Moroccan sectors. This paper investigates the dynamic connectedness between Moroccan equity sectors and global commodities, with a focus on systemic crises such as the COVID-19 pandemic and the Russia–Ukraine war, and evaluates the hedging effectiveness of commodities for Moroccan sectoral portfolios. A time-varying parameter vector autoregression (TVP-VAR) connectedness framework is applied to analyze return spillovers among ten Moroccan stock market sectors and seven commodities (oil, natural gas, coal, wheat, corn, copper, and iron), while a dynamic conditional correlation GARCH (DCC-GARCH) model estimates hedge ratios, portfolio weights, and hedging effectiveness to assess risk mitigation strategies. The results show that connectedness is moderate in calm periods but rises sharply during crises, reducing diversification opportunities and intensifying systemic risk. Banks persist as net transmitters of shocks, while Mining and Pharmaceuticals gain influence during COVID-19, and agricultural commodities dominate during the Russia–Ukraine war. Hedging analysis indicates that commodities provide limited, crisis-dependent benefits, with effectiveness varying across sectors. This study provides the first comprehensive evidence on the dynamic linkages between Moroccan stock market sectors and global commodities, highlighting how external shocks propagate into an emerging economy and offering valuable insights for investors seeking risk management strategies and policymakers focused on financial stability.