Ethical and Conventional Stock Price Performance: An Empirical Investigation under CAPM-GARCH Models

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