Not necessarily. You can implement them using a monad. See https://dl.acm.org/doi/10.1145/2804302.2804319. That said, in GHC Haskell the implementation on top of stack switching seems to outperform other implementation strategies. See https://github.com/ghc-proposals/ghc-proposals/blob/master/p....

In OCaml 5, we’ve made it quite fast: https://kcsrk.info/papers/drafts/retro-concurrency.pdf. For us, the goal is to implement concurrent programming, for which a stack switching implementation works well. If you use OCaml effect handlers to implement state effect, it is going to be slower than using mutable state directly. And that’s fine. We’re not aiming to simulate all effects using effect handlers, only non-local control flow primitives like concurrency, generators, etc.