Financial market contagion during the global financial crisis: evidence from the Moroccan stock market

Ahmed El Ghini () and Youssef Saidi

International Journal of Financial Markets and Derivatives, 2015, vol. 4, issue 1, 78-95

Abstract: In this paper, we aim at the study of the contagion of the global financial crisis (2007-2009) on Moroccan stock market. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis. Following Forbes and Rigobon (2002), we define contagion as a positive shift in the degree of comovement between asset returns. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and US markets, respectively. To measure the degree of volatility comovement, time-varying correlation coefficients are estimated by flexible dynamic conditional correlation (DCC) multivariate GARCH model. We investigate empirical studies using the DCC-GARCH framework to test the contagion hypothesis from US and European markets to the Moroccan one.

Keywords: multivariate GARCH model; financial crisis; contagion hypothesis; break identification; conditional volatility; volatility comovement; financial markets; derivatives; Morocco; stock markets; asset returns; returns; time-varying correlation coefficients. (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Working Paper: Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfmkd:v:4:y:2015:i:1:p:78-95

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