This study examines the influence of eight key weather factors, including atmospheric pressure (ATPRS), clear sky (CLSKY), precipitation (PRECP), relative and specific humidity (RHUMD and SHUMD, respectively), as well as temperature (TEMPR), wind direction and speed (WNDR and WNSP, respectively), on the returns and volatilities of the seven Moroccan sectors most sensitive to the weather (Agri-food/Production, Beverages, Distributors, Electricity, Leisure and Hotels, Oil and Gas, and Transport) from January 4, 1993, to October 30, 2022. The objective was to analyze how weather affects the fluctuations of sectoral stock indices and assess sectoral vulnerability. Utilizing daily frequency weather and stock market data and implementing a GJR-GARCH (1,1) model combined with an autoregressive (AR) process, the results demonstrate that all sectors are influenced by weather, particularly the Agri-food/Production and Beverages sectors. These insights are vital for the stakeholders in Morocco. Investors can make informed decisions, policymakers can create targeted support policies, and businesses can develop risk management strategies to handle weather-related challenges, ensuring economic stability and competitiveness.
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