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Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market

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  • El GHINI, Ahmed
  • SAIDI, Youssef

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

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:53392
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    References listed on IDEAS

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    Cited by:

    1. Abdullahi, Shafiu Ibrahim, 2017. "Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange," MPRA Paper 83455, University Library of Munich, Germany, revised Nov 2017.
    2. 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.

    More about this item

    Keywords

    Multivariate GARCH model; financial crisis; contagion hypothesis; break identification; conditional volatility; volatility comovement.;

    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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