Volatility Spillover Effects in the Moroccan Interbank Sector before and during the COVID-19 Crisis

Mohamed Beraich and Salah Eddin El Main
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Mohamed Beraich: Laboratory of the Studies and Researches in Management Sciences, Faculty of Law, Economic and Social Sciences Agdal, Mohammed V University, Rabat 10000, Morocco
Salah Eddin El Main: Laboratory of the Studies and Researches in Management Sciences, Faculty of Law, Economic and Social Sciences Agdal, Mohammed V University, Rabat 10000, Morocco

Risks, 2022, vol. 10, issue 6, 1-20

Abstract: The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbreak on the transmission of volatility among Moroccan banks listed in the Moroccan stock market. The data sample frequency is daily and extends from 1 January 2012 to 31 December 2021, excluding holidays. The empirical results indicate that the volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover effects between the six publicly traded Moroccan banks and the Moroccan banking sector stock index before and during the COVID-19 pandemic crisis.

Keywords: systemic risk; financial contagion; systemically important financial institutions; volatility; vector autoregression model; variance decomposition (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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