INHERENT VOLATILITY IN THE MARKET AND STOCK RETURNS OF COMPANIES LISTED ON THE CASABLANCA STOCK EXCHANGE: AN APPROACH BY THE CAPITAL ASSET PRICING MODEL

Résumé

The purpose of this paper is to study the systematic risk of companies’ shares listed in the Casablanca Stock Exchange. The sample consists of annual observations of sixty-eight companies, observed over the period from 2013 to 2017. The results that we have obtained, by applying an econometric model of the linearity of the relationship between systematic risk and stock return, reveal the existence of the abnormality of the stock returns’ distribution. So, there is a lack of a strong correlation between beta and return, and the non- significance of the linear statistical relationship between return and systematic risk. As a result, Beta is not able to explain sufficiently the stock return listed in the Moroccan stock Exchange.

Key words: Return- Systemic Risk -CAPM -Panel