Futures Contracts on the MASI 20: Simulated Impact Analysis on Liquidity, Informational Efficiency and Volatility of the Casablanca Stock Exchange

Abstract

On May 6, 2025, the Moroccan Capital Market Authority (AMMC) approved the information document for the first futures contract on the MASI 20 index, inaugurating the era of derivatives at the Casablanca Stock Exchange. This launch, materialized on April 6, 2026, places Morocco alongside Johannesburg and Nairobi in the select circle of African stock exchanges with a regulated futures market.

To what extent does this institutional innovation improve the liquidity, informational efficiency and stability of the Casablanca Stock Exchange?

Given the insufficient historical depth of this newly created market, this article provides the first multidimensional ex-ante econometric analysis based on a Monte Carlo simulation calibrated on the MASI general parameters (2015–2024), supplemented by actual data from the first trading weeks. Our projections indicate a significant improvement in liquidity (+45% volume, -31% spread), a reduction in serial dependencies, a stabilization of conditional volatility and a progressive leadership of the futures market in price discovery (IS > 61% from the sixth week). These results position Morocco's trajectory between JSE and NSE levels, while identifying initial low liquidity as the main factor limiting the amplitude of effects.