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Volatility stylized facts in the Moroccan stock market: Evidence from both aggregate and disaggregate data

Author

Listed:
  • Moulay Driss ELBOUSTY

    (Research in Entrepreneurship, Finance and Audit Laboratory (LAREFA), ENCG, Ibn Zohr University, Morocco)

  • Lahsen OUBDI

    (Research in Entrepreneurship, Finance and Audit Laboratory (LAREFA), ENCG, Ibn Zohr University, Morocco)

Abstract

Financial markets in emerging countries are generating considerable literature, aiming to understand their organization, perspective, and performance. In this context, few studies have expressed interest in the Moroccan financial market and even fewer researches have addressed the issue of the Moroccan financial market volatility. In this paper, we investigate variety of common properties, labelled as “stylized facts.” Our results show that global and sectoral indices of Moroccan Stock Market share the majority of stylized facts. In fact, absolute returns correlation coefficients are positive and tend to decay at a much slower pace. Hence, volatility of Moroccan Stock Market captures the properties of volatility clustering and long memory. We also find evidence of volatility asymmetry. Yet, the level is not statistically significant for most of the indices. More interestingly, the Omori law indicates that Moroccan Stock market is relatively stable after financial shocks.

Suggested Citation

  • Moulay Driss ELBOUSTY & Lahsen OUBDI, 2020. "Volatility stylized facts in the Moroccan stock market: Evidence from both aggregate and disaggregate data," Turkish Economic Review, EconSciences Journals, vol. 7(2), pages 111-138, July.
    • Handle: RePEc:cvv:journ2:v:7:y:2020:i:2:p:111-138
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    References listed on IDEAS

    as
    1. Benbachir, Saâd & El Alaoui, Marwane, 2011. "A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange," MPRA Paper 49003, University Library of Munich, Germany.
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    3. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
    4. Elyasiani, Elyas & Mansur, Iqbal & Odusami, Babatunde, 2011. "Oil price shocks and industry stock returns," Energy Economics, Elsevier, vol. 33(5), pages 966-974, September.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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