Interdependence between the Moroccan and international stock markets before and during the Covid-19 crisis

Lhoucine Ben Hssain;, Jamal Agouram and Ghizlane Lakhnati

International Journal of Accounting, Auditing and Performance Evaluation, 2025, vol. 21, issue 1/2, 65-81

Abstract: This paper examines the degree of interdependence between Moroccan and international stock markets (USA, Germany, and China). To test time-varying correlations, we used the dynamic conditional correlation model (DCC-GARCH). In addition, we used daily returns from stock market indices from January 2019 to January 2021, before and after the emergence of Covid-19. The study results indicate that the conditional correlations between Morocco and the selected markets are time-varying, with the existence of strong and weak correlations phases. We also noted that the Covid-19 crisis had an impact on the increased interdependence of the Moroccan stock market, with the US and German stock markets.

Keywords: stock returns; DCC-GARCH model; COVID-19; interdependence; behavioral finance theory; volatility; financial crisis. (search for similar items in EconPapers)
Date: 2025
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