Impact of Covid-19 on the Moroccan stock market: application of the GARCH/EGARCH approach
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Dosyalar
Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
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Yayıncı
İstanbul Ticaret Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Using daily data, this paper applies generalized autoregressive conditional heteroskedasticity (GARCH) and exponential garch (EGARCH) approach to examine the effect of the current Covid-19 pandemic crisis on the Moroccan stock market from 01/01/2019 to 31/12/2020. More specifically, we have conducted a comparative study analyzing the volatility and leverage effect of stock market returns of the Moroccan All Shares Index (MASI), an index representative of the Moroccan stock market, before and during the period of Covid-19. The data used in this study are daily values of the evolution of the MASI index. Our selected empirical results indicate that there is a negative effect of the covid-19 pandemic on the Moroccan stock market.
Açıklama
Anahtar Kelimeler
Covid-19, EGARCH, GARCH, Leverage effect, Volatility
Kaynak
International Journal of Commerce and Finance
WoS Q Değeri
Scopus Q Değeri
Cilt
7
Sayı
2
