The Performance of Socially Responsible Investment (SRI) in Morocco: A Comparative Analysis of the Casablanca Stock Exchange (CSE) (International Journal Of Applied Management And Economics)

Summary

• The empirical study evaluated historical daily prices and returns for three indices across 31 months from 01/10/2018 to 30/04/2021.p.12
• The average daily performance of the Casablanca ESG10 index was 0,002613%, compared to 0,009938% for the MASI and 0,01045% for the MSI20 (MADEX).p.14
• Under the CAPM, Casablanca ESG10 showed a Bêta of 1,06155 relative to MASI, compared to 0,97948 for MSI20 (MADEX).p.18

Key insights

1. The Casablanca ESG10 underperforms its conventional counterparts in terms of absolute return and risk-adjusted return without statistical significance.p.2
2. The reference date for the Casablanca ESG10 index is 29/12/2017 with a base value of 1000 points.p.12
3. Mean daily values for adjusted indices were 1106,5 points for MASI, 900,8 points for MSI20 (MADEX), and 859,2 points for Casablanca ESG10.p.14
4. Shapiro-Wilk normality tests produced p-values of 2,20E-16 across all index return series, rejecting normal distribution assumptions.p.15
5. All calculated CAPM ratios were negative due to the impact of the Covid-19 pandemic on financial markets.p.18
6. Casablanca ESG10 exhibited a Jensen Alpha of -0,00727 %, compared to -0,00079 % for MSI20 (MADEX).p.18
7. Learning curve theory suggests short-term SRI underperformance stems from compliance costs, with benefits appearing over a longer horizon.p.20