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Financial market contagion during the global financial crisis: evidence from the Moroccan stock market

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  • Ahmed El Ghini
  • Youssef Saidi

Abstract

In 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 US markets, respectively. To measure the degree of volatility comovement, time-varying correlation coefficients are estimated by flexible dynamic conditional correlation (DCC) multivariate GARCH model. We investigate empirical studies using the DCC-GARCH framework to test the contagion hypothesis from US and European markets to the Moroccan one.

Suggested Citation

  • Ahmed El Ghini & Youssef Saidi, 2015. "Financial market contagion during the global financial crisis: evidence from the Moroccan stock market," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 78-95.
    • Handle: RePEc:ids:ijfmkd:v:4:y:2015:i:1:p:78-95
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    Cited by:

    1. Lumengo Bonga-Bonga & Zinzile Lorna Ndiweni, 2025. "Contagion or Decoupling? Evidence from Emerging Stock Markets," Risks, MDPI, vol. 13(9), pages 1-20, August.
    2. Shafiu ABDULLAHI, 2017. "Stock Market Linkage Financial Contagion and Assets Price Movements Evidence from Nigerian Stock Exchange," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 146-159.
    3. Zorgati, Imen & Lakhal, Faten & Zaabi, Elmoez, 2019. "Financial contagion in the subprime crisis context: A copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 269-282.
    4. Zorgati, Imen & Garfatta, Riadh, 2021. "Spatial financial contagion during the COVID-19 outbreak: Local correlation approach," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    5. Ahmed El Ghini & Youssef Saidi, 2017. "Return and volatility spillovers in the Moroccan stock market during the financial crisis," Empirical Economics, Springer, vol. 52(4), pages 1481-1504, June.
    6. Zorgati, Imen & Lakhal, Faten, 2020. "Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches," Economic Modelling, Elsevier, vol. 92(C), pages 162-169.

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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

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