Ownership structure and the persistence of behavioral trading states: Evidence from the Moroccan stock market

This paper examines whether persistent behavioral trading states can be identified in an emerging equity market and whether ownership structure is associated with their persistence. Using 1072 stock-year observations for 73 firms listed on the Casablanca Stock Exchange over 2004-2025, we construct four market-based behavioral proxies capturing sentiment, disposition, herding, and residual momentum, and classify stock-years using fuzzy c-means. The evidence supports two broad behavioral states-speculative and depressed-although the underlying structure is best characterized as a continuous behavioral gradient driven primarily by a sentiment-disposition-momentum triad. Both states are more persistent than a marginal-preserving random benchmark, though depressed states are only modestly more persistent and the two are not statistically distinguishable. Cross-firm evidence shows that predominantly depressed stocks have significantly lower institutional ownership (7.4% vs. 12.9%); free float and strategic concentration separate the states only among the most persistent anchors. Behavioral-state membership adds modest incremental information for future volatility, but not beyond the raw behavioral proxies and not for returns; its value is thus as a parsimonious, interpretable measurement of behavioral orientation rather than a predictive signal. Overall, institutional ownership is associated with the long-run behavioral orientation of stocks in an emerging market.