U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility

Karim Belcaid and Ahmed El Ghini ()

The Journal of Economic Asymmetries, 2019, vol. 20, issue C

Abstract: We investigate the impact of economic policy uncertainty in the U.S., France, Spain, Germany, the U.K., Italy and China on the long run volatility in the Moroccan stock market. For this reason, we combine both daily returns and monthly uncertainty data in the GARCH-MIDAS model. We decompose total volatility into a long run persistent component and short run cyclical component. This study will contribute to stock market research and international economic policy uncertainty (EPU).

Keywords: Long run volatility; International economic policy uncertainty; Global financial crisis; Casablanca stock exchange; Moroccan all shares index; MASI; International portfolio management (search for similar items in EconPapers)
JEL-codes: C58 D81 F6 G15 G32 N2 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1703494919300672
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300672

DOI: 10.1016/j.jeca.2019.e00128

Access Statistics for this article

The Journal of Economic Asymmetries is currently edited by A.G. Malliaris

More articles in The Journal of Economic Asymmetries from Elsevier
Bibliographic data for series maintained by Catherine Liu ().