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

by Ahmed El Ghini, Youssef Saidi
http://www.inderscience.com/info/inarticle.php?artid=66450
Citation
Title:
Financial market contagion during the global financial crisis: evidence from the Moroccan stock market
Author:
Ahmed El Ghini, Youssef Saidi
Year: 
2015
Publication: 
Int. J. of Financial Markets and Derivatives
Volume: 
4
Issue: 
1
Start Page: 
78
End Page: 
95
Publisher: 
Inderscience Publishers
Language: 
English
URL: 
http://www.inderscience.com/info/inarticle.php?artid=66450
Select license: 
Select License
DOI: 
10.1504/IJFMD.2015.066450
PMID: 
ISSN: 
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.

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