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U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility

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  • Belcaid, Karim
  • El Ghini, Ahmed

Abstract

We investigate the impact of economic policy uncertainty in the U.S., France, Spain, Germany, the U.K., Italy and China on the long run volatility in the Moroccan stock market. For this reason, we combine both daily returns and monthly uncertainty data in the GARCH-MIDAS model. We decompose total volatility into a long run persistent component and short run cyclical component. This study will contribute to stock market research and international economic policy uncertainty (EPU).

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  • Belcaid, Karim & El Ghini, Ahmed, 2019. "U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    • Handle: RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300672
    DOI: 10.1016/j.jeca.2019.e00128
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    More about this item

    Keywords

    Long run volatility; International economic policy uncertainty; Global financial crisis; Casablanca stock exchange; Moroccan all shares index; MASI; International portfolio management;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • F6 - International Economics - - Economic Impacts of Globalization
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • N2 - Economic History - - Financial Markets and Institutions

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