MASI ESG and Stock Market Performance: Evidence from the Casablanca Stock Exchange

Abstract

This paper examines the impact of inclusion in the MASI ESG index of the Casablanca Stock Exchange on the stock market performance of listed companies. In a context where environmental, social, and governance (ESG) criteria are becoming increasingly important in investment decisions, the study seeks to determine whether ESG index membership effectively enhances risk-adjusted performance in the Moroccan market.

The analysis is based on a dataset of 782 observations covering the period from November 2023 to June 2025. Three performance indicators were considered—monthly return, volatility, and the Sharpe ratio—to assess risk-adjusted performance. Data were processed using SPSS, combining descriptive statistics with a linear regression analysis testing the effect of ESG inclusion on the Sharpe ratio.

Empirical results reveal a positive and statistically significant relationship between inclusion in the MASI ESG index and risk-adjusted performance. Firms with higher ESG standards exhibit lower volatility and superior adjusted returns, suggesting that the MASI ESG index serves as a credible signal for investors and a lever for promoting sustainable finance in Morocco.

Keywords: ESG inclusion, stock market performance, Sharpe ratio, comparative study.

Classification JEL : M10 

Paper type: Empirical Research