Advertisement

Empirical Economics

, Volume 52, Issue 4, pp 1481–1504 | Cite as

Return and volatility spillovers in the Moroccan stock market during the financial crisis

  • Ahmed El GhiniEmail author
  • Youssef Saidi
Article

Abstract

The aim of this paper is to investigate the return and volatility linkages among the Moroccan stock market and that of the USA and three European countries (France, Germany and UK) before and during the financial crisis. More specifically, we use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and US markets, respectively. The data sample frequency is daily and spans from January 2002 to December 2012 excluding holidays. Using the estimation results of a bivariate VAR-BEKK GARCH model, we analyze the return and volatility spillover effects between the Moroccan market and the other considered markets. Moreover, the identification of break point due to the subprime crisis is made by Lee and Strazicich (Rev Econ Stat 85(4):1082–1089, 2003, Econ Bull 33(4):2483–2492, 2013), Papell and Prodan (J Money Credit Bank 38:1329–1349, 2006) and Prodan (J Bus Econ Stat 26(1):50–65, 2008) structural break tests. The empirical results indicate varying degrees of interdependence and spillover effects between the four considered major stock markets and the Moroccan emerging stock market before and after the global financial crisis.

Keywords

Return and volatility spillovers Multivariate GARCH model VAR analysis Financial crisis Stock markets Break identification Conditional correlation 

JEL Classification

C5 C22 G1 G01 G15 

Notes

Acknowledgments

The views expressed herein are those of the authors and do not necessarily reflect the views of their institutions. The authors would like to express their sincere gratitude to the Editor-in-Chief, Prof. R. M. Kunst, and the anonymous referees for their constructive comments and helpful suggestions, which greatly improved the quality of this paper.

References

  1. Angkinand A, Barth J, Kim H (2010) Spillover effects from the US financial crisis: Some time-series evidence from national stock returns. In: Gup B (ed) The financial economic crisis: an international perspective. Edward Elgar Publishing, CheltenhamGoogle Scholar
  2. Bae K, Karolyi A, Stulz R (2003) A new approach to measuring financial contagion. Rev Financ Stud 16(3):717–763CrossRefGoogle Scholar
  3. Bai J (1999) Likelihood ratio tests for multiple structural changes. J Econom 91:299–323CrossRefGoogle Scholar
  4. Bai J, Perron P (1998) Estimating and testing linear models with multiple structural changes. Econometrica 66:47–78CrossRefGoogle Scholar
  5. Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J Appl Econom 18:1–22CrossRefGoogle Scholar
  6. Baig T, Goldfajn I (1999) Financial market contagion in the Asian crisis. Int Monet Fund 46:167–195Google Scholar
  7. Beirne J, Caporale GM, Schulze-Ghattas M, Spagnolo N (2008) Volatility spillovers and contagion from mature to emerging stock markets. IMF Working Paper, p 286Google Scholar
  8. Bekaert G, Harvey CR, Ng A (2005) Market integration and contagion. J Bus 78(1):39–69CrossRefGoogle Scholar
  9. Bollerslev T, Chou RY, Kroner KF (1992) ARCH modeling in finance. J Econom 52(1):5–59CrossRefGoogle Scholar
  10. Caporale GM, Pittis N, Spagnolo N (2006) Volatility transmission and financial crisis. J Econ Finan 30(3):376–390CrossRefGoogle Scholar
  11. Didier T, Mauro P, Schmuckler S (2008) Vanishing financial contagion? J Policy Model 30:775–791CrossRefGoogle Scholar
  12. Diebold FX, Yilmaz K (2009) Measuring financial asset return and volatility spillovers, with application to global equity markets. Econ J 119(534):158–171CrossRefGoogle Scholar
  13. El Ghini A, Saidi Y (2015) Financial market contagion during the global financial crisis: evidence from the Moroccan stock market. Int J Financ Mark Deriv 4(1):78–95CrossRefGoogle Scholar
  14. Engle RF (1995) ARCH: selected readings. Oxford University Press, OxfordGoogle Scholar
  15. Engle RF, Kroner FK (1995) Multivariate simultaneous generalized ARCH. Econom Theory 11:122–150CrossRefGoogle Scholar
  16. Forbes K, Rigobon R (2002) No contagion, only interdependence: measuring stock market comovement. J Finan 57:2223–2261CrossRefGoogle Scholar
  17. Francq C, Zakoïan JM (2009) Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons. J Am Stat Assoc 104(485):313–324CrossRefGoogle Scholar
  18. Francq C, Zakoïan JM (2010) GARCH models: structure, statistical inference and financial applications. Wiley, New YorkCrossRefGoogle Scholar
  19. Francq C, Zakoïan JM (2014) Estimating multivariate GARCH and stochastic correlation models equation by equation. MPRA Paper No. 54250. http://mpra.ub.uni-muenchen.de/54250/
  20. Goetzmann WN, Li L, Rouwenhorst KG (2005) Long-term global market correlations. J Bus 78(1):1–38CrossRefGoogle Scholar
  21. Harvey AC (1990) The econometric analysis of time series, 2nd edn. Philip Allan, OxfordGoogle Scholar
  22. Horta P, Mendes C, Vieira I (2008) Contagion effects of the US subprime crisis on developed countries. CEFAGEUE Working PaperGoogle Scholar
  23. Kaminsky L, Schukler S (1999) What triggers market jitters? A chronicle of the Asian crisis. J Int Money Finan 18:537–560CrossRefGoogle Scholar
  24. King M, Wadhwani S (1990) Transmission of volatility between stock markets. Rev Financ Stud 3:5–33CrossRefGoogle Scholar
  25. Lee J, Strazicich MC (2003) Minimum lagrange multiplier unit root test with two structural breaks. Rev Econ Stat 85(4):1082–1089CrossRefGoogle Scholar
  26. Lee J, Strazicich MC (2013) Minimum LM unit root test with one structural break. Econ Bull 33(4):2483–2492Google Scholar
  27. Lumsdaine R, Papell D (1997) Multiple trend breaks and the unit-root hypothesis. Rev Econ Stat 79(2):212–218CrossRefGoogle Scholar
  28. Neaime S (2012) The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets. Emerg Mark Rev 13(3):268–282CrossRefGoogle Scholar
  29. Ng A (2000) Volatility spillover effects from Japan and the US to the Pacific Basin. J Int Money Finan 19:207–233CrossRefGoogle Scholar
  30. Neumark D, Tinsley PA, Tosini S (1991) After hours stock prices and post-crash hangovers. J Finan 46(1):159–178CrossRefGoogle Scholar
  31. Papell DH, Prodan R (2006) Additional evidence of lung run purchasing power parity with restricted structural change. J Money Credit Bank 38:1329–1349CrossRefGoogle Scholar
  32. Prodan R (2008) Potential pitfails in determining multiple structural changes with an application to purchasing power parity. J Bus Econ Stat 26(1):50–65CrossRefGoogle Scholar
  33. Stevens G (2008) Economic prospects in 2008: an antipodean view. Address by the Governor of the Reserve Bank of Australia to Australian Business, London, UK, 18 Jan 2008Google Scholar
  34. Sugimoto K, Matsuki T, Yoshida Y (2014) The global financial crisis: an analysis of the spillover effects on African stock markets. Emerg Mark Rev 21:201–233CrossRefGoogle Scholar
  35. Wang KM, Lee YM (2009) The stock markets spillover channels in the 1997 financial crisis. Int Res J Finan Econ 26:105–133Google Scholar
  36. Worthington A, Higgs H (2004) Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis. Int J Finan Econ 9(1):71–80CrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  1. 1.Department of Economics, (Eradiass), Faculty of Law, Economics and Social Sciences, SouissiMohammed V University in RabatRabatMorocco
  2. 2.Research DepartmentBank Al-MaghribRabatMorocco

Personalised recommendations