Volatility stylized facts in the Moroccan stock market: Evidence from both aggregate and disaggregate data

Moulay Driss Elbousty and Lahsen Oubdi
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Moulay Driss Elbousty: Research in Entrepreneurship, Finance and Audit Laboratory (LAREFA), ENCG, Ibn Zohr University, Morocco
Lahsen Oubdi: Research in Entrepreneurship, Finance and Audit Laboratory (LAREFA), ENCG, Ibn Zohr University, Morocco

Turkish Economic Review, 2020, vol. 7, issue 2, 111-138

Abstract: Financial markets in emerging countries are generating considerable literature, aiming to understand their organization, perspective, and performance. In this context, few studies have expressed interest in the Moroccan financial market and even fewer researches have addressed the issue of the Moroccan financial market volatility. In this paper, we investigate variety of common properties, labelled as “stylized facts.” Our results show that global and sectoral indices of Moroccan Stock Market share the majority of stylized facts. In fact, absolute returns correlation coefficients are positive and tend to decay at a much slower pace. Hence, volatility of Moroccan Stock Market captures the properties of volatility clustering and long memory. We also find evidence of volatility asymmetry. Yet, the level is not statistically significant for most of the indices. More interestingly, the Omori law indicates that Moroccan Stock market is relatively stable after financial shocks.

Keywords: Asymmetry; Long memory; Multifractality; Omori Law; Stylized facts; Volatility. (search for similar items in EconPapers)
JEL-codes: C53 C58 G11 G17 (search for similar items in EconPapers)
Date: 2020
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