Return and volatility spillovers in the Moroccan stock market during the financial crisis

Ahmed El Ghini () and Youssef Saidi

Empirical Economics, 2017, vol. 52, issue 4, No 14, 1504 pages

Abstract: Abstract The aim of this paper is to investigate the return and volatility linkages among the Moroccan stock market and that of the USA and three European countries (France, Germany and UK) before and during the financial crisis. More specifically, we use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and US markets, respectively. The data sample frequency is daily and spans from January 2002 to December 2012 excluding holidays. Using the estimation results of a bivariate VAR-BEKK GARCH model, we analyze the return and volatility spillover effects between the Moroccan market and the other considered markets. Moreover, the identification of break point due to the subprime crisis is made by Lee and Strazicich (Rev Econ Stat 85(4):1082–1089, 2003, Econ Bull 33(4):2483–2492, 2013), Papell and Prodan (J Money Credit Bank 38:1329–1349, 2006) and Prodan (J Bus Econ Stat 26(1):50–65, 2008) structural break tests. The empirical results indicate varying degrees of interdependence and spillover effects between the four considered major stock markets and the Moroccan emerging stock market before and after the global financial crisis.

Keywords: Return and volatility spillovers; Multivariate GARCH model; VAR analysis; Financial crisis; Stock markets; Break identification; Conditional correlation (search for similar items in EconPapers)
JEL-codes: C22 C5 G01 G1 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (9)

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Working Paper: Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis (2014)
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DOI: 10.1007/s00181-016-1110-8

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