Short- and long-run macroeconomic drivers of trading value on the Casablanca Stock Exchange

Type of the article: Research ArticleAbstractLiquid equity markets convert savings into productive capital, and in emerging economies a narrow investor base makes trading activity unusually sensitive to macroeconomic conditions. In Morocco, annual trading value on the Casablanca Stock Exchange has moved between 47 and 360 billion dirhams since 2004, raising the question of which macroeconomic forces drive this activity and over which horizon. The aim of this study is to assess the short- and long-run associations between gross savings, unemployment, real GDP growth, consumer prices, foreign direct investment, and the logarithm of annual trading value over 2004–2024. The method combines autoregressive distributed lag estimation, lag selection by the corrected Akaike criterion on a common sample, bounds testing with finite-sample critical values generated by stochastic simulation, an exact error-correction reparameterization, and delta-method standard errors for long-run coefficients. The bounds statistic of 9.15 exceeds the simulated 1 percent upper bound of 7.33, and the error-correction coefficient equals −0.926 (p < 0.001). A one-percentage-point rise in foreign direct investment relative to GDP is associated with 31.5 percent higher trading value in the same year (p = 0.004) and 34.4 percent in the long run (p = 0.012); gross savings carry effects of 9.9 and 10.7 percent (p = 0.003 and p < 0.001). Unemployment, growth, and prices show no reliable association. As a result, external capital and domestic saving emerge as the robust macroeconomic correlates of Moroccan market activity, while heavily parameterized specifications overstate cyclical effects.