Title: An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models

Authors: Ouael El Jebari; Abdelati Hakmaoui

Addresses: Research Laboratory of Management, Information and Governance, Faculty of Law Economics and Social Sciences of Aîn Sebaâ, University Hassan II of Casablanca, Morocco ' Research Laboratory of Management, Information and Governance, Faculty of Law Economics and Social Sciences of Aîn Sebaâ, University Hassan II of Casablanca, Morocco

Abstract: This paper tries to give a thorough analysis of the mechanisms of volatility spillovers, as well as, a study of the time-varying interdependencies of volatilities of seven major sectors of the Moroccan stock exchange by proposing an empirical approach based on multivariate GARCH models. It uses daily data spanning the period between 02/07/2007 and 15/12/2016, covering seven principal sectors indices. The results of the study confirm the existence of multiple volatility transmissions in both ways and of both signs between sectors of our sample, along with, the quasi-abundance of positive correlations suggesting possible contagion effects. More importantly, our findings are in line with those discovered in the U.S financial market. The notoriety of this paper resides in the fact that it broadens previously documented studies focusing mainly on external shocks by providing a study of internal shocks while applying two multivariate GARCH models.

Keywords: volatility spillover; dynamic conditional correlations; interdependencies; domestic sectors; multivariate GARCH models.

DOI: 10.1504/IJCEE.2020.108392

International Journal of Computational Economics and Econometrics, 2020 Vol.10 No.3, pp.291 - 307

Received: 29 Dec 2017
Accepted: 05 Jul 2018
Published online: 13 Jul 2020 *

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