Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market
AbstractIn 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 53392.
Date of creation: 28 Dec 2013
Date of revision:
Multivariate GARCH model; financial crisis; contagion hypothesis; break identification; conditional volatility; volatility comovement.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G01 - Financial Economics - - General - - - Financial Crises
- G1 - Financial Economics - - General Financial Markets
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-08 (All new papers)
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