Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
AbstractThe 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 53439.
Date of creation: 01 Jan 2014
Date of revision:
Return and volatility spillovers; multivariate GARCH model; financial crisis; stock markets; break identification; conditional correlation;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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