Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market

El Ghini, Ahmed and Saidi, Youssef (2013): Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market.

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 U.S. markets respectively. To measure the degree of volatility comovement, time-varying correlation coefficients are estimated by flexible multivariate dynamic conditional correlation (DCC). We investigate empirical studies using the DCC-GARCH model to test the contagion hypothesis from U.S. and European markets to the Moroccan one.

• Item Type: MPRA Paper
• Language: English
• Keywords: Multivariate GARCH model, financial crisis, contagion hypothesis, break identification, conditional volatility, volatility comovement.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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