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

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  • El GHINI, Ahmed
  • SAIDI, Youssef

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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 53392.

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Date of creation: 28 Dec 2013
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Handle: RePEc:pra:mprapa:53392

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Keywords: Multivariate GARCH model; financial crisis; contagion hypothesis; break identification; conditional volatility; volatility comovement.;

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  17. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
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