The relationship between the return and the systemic risk in the Moroccan Stock Exchange

Abstract

This research aims to study the nature of the relationship between return and systemic risk in practice and the ability of the CAPM model، especially the aspect of Beta House، to explain the relationship between return and systemic risk. The study included 21 companies listed on the Casablanca Stock Exchange in Morocco during the period 02/01/2015 To 31/12/2016. The study concluded that the relationship between return and systemic risk lies in the beta coefficient، which reflects and diagnoses the systemic risks of the shares of companies. The latter gives the extent of the return of the financial asset compared to the market return. Reflective presence for a positive return between positive and systemic risk.