Title: Interdependence between the Moroccan and international stock markets before and during the Covid-19 crisis

Authors: Lhoucine Ben hssain; Jamal Agouram; Ghizlane Lakhnati

Addresses: LISAD-ENSA, Ibn zohr University, BP 1136, Agadir, Morocco ' LISAD-ENSA, Ibn zohr University, BP 1136, Agadir, Morocco ' LISAD-ENSA, Ibn zohr University, BP 1136, Agadir, Morocco

Abstract: This paper examines the degree of interdependence between Moroccan and international stock markets (USA, Germany, and China). To test time-varying correlations, we used the dynamic conditional correlation model (DCC-GARCH). In addition, we used daily returns from stock market indices from January 2019 to January 2021, before and after the emergence of Covid-19. The study results indicate that the conditional correlations between Morocco and the selected markets are time-varying, with the existence of strong and weak correlations phases. We also noted that the Covid-19 crisis had an impact on the increased interdependence of the Moroccan stock market, with the US and German stock markets.

Keywords: stock returns; DCC-GARCH model; COVID-19; interdependence; behavioral finance theory; volatility; financial crisis.

DOI: 10.1504/IJAAPE.2025.144890

International Journal of Accounting, Auditing and Performance Evaluation, 2025 Vol.21 No.1/2, pp.65 - 81

Received: 18 Mar 2021
Accepted: 23 Dec 2021
Published online: 07 Mar 2025 *