Study of Stock Markets and Investor Behaviour: Case of the Casablanca Stock Exchange

Abstract

The emergence of a new stream of research, behavioral finance, linking market behavior and human psychology, seeking to study cognitive biases related to investor behavior that are not explained by traditional financial theory, has opened up several avenues of research related to the behavior of stock market actors and their effects on stock markets. Our empirical study focuses, on the one hand, on the identification of the stock market crises that affected the Casablanca Stock Exchange during the period 2000-2020 and, on the other hand, on the measurement of investors' sentiment on the Moroccan stock market, to verify that the indicator of investors' sentiment is consistent with stock market crises and to find that investors' sentiment is at the origin of the Moroccan stock market crises as defined by Granger. This provides new evidence on the important role played by investor sentiment in the transmission of stock market crises.