Conventional and Ethical Stock Price Performance in Morocco : An Empirical Investigation

The present paper aims to examine the financial performance of the Moroccan Ethical index ESG10 compared to its conventional counterpart the MASI index. The ethical investment is a kind of investment that applies screenings based on ecological, social and governance criteria to include or exclude assets from a portfolio. This asset filtering strategy, however, may have additional financial costs compared with traditional investments. Therefore, we will examine the following issue: Does ethical investment impact positively/negatively on corporates' stock market performances? The study covers the period 2019-2022. To this end, various performance ratios was used and a CAPM-GARCH model was estimated. Our findings indicate that the ethical index is not only more volatile than the conventional peer, but also shows a smaller return. This paper is one of the first studies to tackle comparative performances for the ESG 10 index, which was launched by the Casablanca Stock Exchange in September 2018