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

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  • El Ghini, Ahmed
  • Saidi, Youssef

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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 53439.

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Date of creation: 01 Jan 2014
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Handle: RePEc:pra:mprapa:53439

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Keywords: Return and volatility spillovers; multivariate GARCH model; financial crisis; stock markets; break identification; conditional correlation;

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  1. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 9(1), pages 71-80.
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  7. Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers, Department of Economics, Appalachian State University 04-17, Department of Economics, Appalachian State University.
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Cited by:
  1. El GHINI, Ahmed & SAIDI, Youssef, 2013. "Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market," MPRA Paper 53392, University Library of Munich, Germany.

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