Is the ESG portfolio resilient to crises? Insights from Morocco’s emerging Casablanca stock exchange

This paper attempts to verify, both theoretically and empirically, the absence and/or presence of a consensus on the positive and significant impact of ESG investment on performance on the one hand, and on the other, on the resilience of ESG investment to crises. The regime-switching EGARCH model is used to model the processes of the daily return series of the ESG portfolio “Casablanca ESG 10,” the market benchmark “MASI” and the one containing the most active stocks “MSI 20,” of the Casablanca stock exchange, during the period from 02 January 2020 to 07 September 2022. Moreover, the following performance measures are used to compare the performances of the three portfolios selected during the same period: the Sharpe ratio (1966), the Treynor ratio (1965), the Black-Treynor ratio, the Sortino ratio, and Jensen’s Alpha (1968). This research shows that, on the one hand, ESG investment is not less risky than conventional investment during periods of crisis; and, on the other hand, there is no significant positive impact of ESG investment on performance, for the case of an emerging stock market. The originality of this research lies in the analysis of the first and only ESG portfolio of the Casablanca stock market.