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

El Ghini, Ahmed and Saidi, Youssef (2014): Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis. Published in: Empirical Economics No. http://link.springer.com/article/10.1007/s00181-016-1110-8 (8 June 2016)

Abstract

The aim of this paper is to investigate the return and volatility linkages among the Moroccan stock market and that of the US 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 (2003, 2013), Papell and Prodan (2006) and Prodan (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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Return and volatility spillovers; multivariate GARCH model; financial crisis; stock markets; break identification; conditional correlation
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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