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

Ghini, Ahmed El; Saidi, Youssef

doi:10.1504/ijfmd.2015.066450

Cited by 9 publications

(4 citation statements)

References 24 publications

(12 reference statements)

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“…Since the Asian crisis (1997), the contagion phenomenon has attracted growing attention, and become the most debated topic in international finance. Several studies have investigated financial contagion (Eichengreen et al 1996;Forbes and Rigobon, 2001;Marais and Bates, 2006;El Ghini and Saidi, 2015;Roy and Roy, 2017). However, the definition and measurement of contagion are still controversial.…”

Section: Introductionmentioning

confidence: 99%

Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches

Zorgati

Lakhal

2020

Economic Modelling

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Section: Introductionmentioning

confidence: 99%

Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches

Zorgati

Lakhal

2020

Economic Modelling

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“…A prominent example is the Asian financial crisis of 1996/7 which devastated the newly liberalised Asian emerging economies. What in financial literature is referred to as contagion is simply 'increase in correlations between financial markets in times of financial crisis compared to the relative stability periods' (Rejeb & Boughrara, 2015;Ghini & Saidi, 2015). There are many academic studies conducted in order to find out why stock markets around the world crashed at the same time.…”

Section: )mentioning

confidence: 99%

“…Early empirical works on financial contagion employed correlation analysis to measure comovement between markets (Ghini & Saidi, 2015). Christoffersen, Errunza, Jacobs, and Jin (2010) investigated patterns and trends in correlations over time using weekly returns for large systems of Developed Markets (DMs) and Emerging Markets (EMs) during the period 1973-2009, their findings suggested that the correlations have been trending upward for both the DMs and EMs.…”

Section: Literature Reviewmentioning

confidence: 99%

Measuring Co-Movements and Linkages between Nigeria and the UAE Stock Exchanges: Is there Opportunity for Portfolio Building?

Abdullahi

2020

JAREAS

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Purpose: The main objective of this study is to examine the relationship between Nigerian Stock Exchange and Dubai stock exchange with the aim of finding out the direction of movements between their respective indices. Approach/Methodology/Design: The methodology adopted for the analysis is ARDL cointegration model and the Generalized Method of Moment (GMM). This is because of their known efficiency in detecting patterns between variables. Findings: The result of the short-run analysis using GMM shows that there is existence of short-run causality between the Dubai financial market (DFM) and the Nigerian stock exchange (NSE). Thus, for investors looking for short- run arbitrage opportunity between the markets, they shall look elsewhere. But, the result of bound testing has shown lack of cointegration between the two markets. This is a sign of existence of opportunities for portfolio diversification between Nigeria stock exchange and Dubai financial market, since the two markets are not cointegrated in the long-run. Practical Implications: The study helps bridge the empirical literature gap in stock market integration and portfolio diversification with reference to the Nigeria and UAE. It will, therefore, guide local and foreign investors with interest in Nigeria and UAE Stock Exchanges. It will also guide Nigerian and UAE policy makers to understand the market better, especially as it concerns financial contagion. Originality/value: This study provides further evidence on stock market integration in emerging markets. New researches shall adopt different methodology such as use of volatility tracking models to measure volatility linkage between the markets.

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“…An extensive body of financial literature focused on the relationships between international equity markets. Co-movements between the Moroccan stock market and the USA, France, UK and Germany stock markets was analysed (Ghini and Saidi, 2015) by applying flexible multivariate GARCH models, namely constant conditional correlation (CCC) and dynamic conditional correlation (DCC), to measure conditional correlations between the stock markets. Jalloh (2016) employs a dynamic panel approach to examine the impact of market capitalisation on economic growth in Africa.…”

Section: Introductionmentioning

confidence: 99%

Analysing time varying co-movements among the US and BRICS stock markets

Lakshmi¹,

Visalakshmi²,

Manickavasagam³

2022

IJFMD

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We perform a three dimensional analysis of the co-movements between developed US market and the emerging BRICS markets through wavelet coherence. This analysis identifies the extent to which each of the BRICS markets provide portfolio diversification opportunities for international investors. We find evidence of a highly heterogeneous degree of co-movement of the US and each of the BRICS markets that vary based on investment horizon. Our findings reveal that Brazil and South Africa have the highest degree of co-movement at higher frequencies or trading period up to a week followed by India (above one month) and Russia (above four months). China has the least co-movement for duration less than a year. The results indicate that effective portfolio diversification decisions are sensitive to both frequency and duration. The strong co-movement at a particular time scale implies that investors must make optimal trade-offs to reap the benefits of portfolio diversification and duration diversification.

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

Abstract: In this paper, we aim at the study of the contagion of the global financial crisis (2007)(2008)(2009)

Cited by 9 publications

References 24 publications

Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches

Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches

Measuring Co-Movements and Linkages between Nigeria and the UAE Stock Exchanges: Is there Opportunity for Portfolio Building?

Analysing time varying co-movements among the US and BRICS stock markets

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