Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis

Ahmed El Ghini () and Youssef Saidi

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this paper is to investigate the return and volatility linkages among Moroccan stock market with that of U.S. and three European countries (France, Germany and U.K.) 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 U.S. markets respectively. The data sample frequency is daily and spans from January 2002 to December 2012 excluding holidays. Using the estimation results of 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-Strazicich (2003,2004) and Bai-Perron (1998, 2003) structural break tests. The empirical findings provide clear evidence of stronger linkages between the Moroccan market and the four other considered stock markets have been created during the subprime financial crisis period.

Keywords: Return and volatility spillovers; multivariate GARCH model; financial crisis; stock markets; break identification; conditional correlation (search for similar items in EconPapers)
JEL-codes: C10 C50 C58 G15 (search for similar items in EconPapers)
Date: 2014-01-01
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/72028/1/MPRA_paper_53439.pdf revised version (application/pdf)

Related works:
Journal Article: Return and volatility spillovers in the Moroccan stock market during the financial crisis (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:53439

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