Morocco and US equity markets linkage after FTA signature implications for international portfolio diversification

مقدم أطروحة جامعية

Boujir, Ashraf

مشرف أطروحة جامعية

Lahrash, Abd al-Munim

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2008

الملخص الإنجليزي

In this paper we examine the market linkage between the Moroccan and US equity markets after the signature of the free trade agreement (FTA) in 2004 and its subsequent implications on the international portfolio diversification.

We empirically measure the linkage by finding the conditional correlation between the two markets using Generalized Autoregressive Conditionally Heteroscedastic (GARCH) model.

We specifically track this issue through Dynamic Conditional Correlation (DCC) model of Engle (2002).

The data selected is the daily index prices of the MASI and S&P 500, and the sample period chosen starts from January 1st, 2000 to December 31st, 2007.

Empirical findings have shown that there is a slight, momentous increase in the correlation between the Moroccan and US equity markets at the date of signature and implementation of FTA.

Yet, the study reveals that despite the increase in direct trade flows between Morocco and US, there is no cross-country linkage in those two equity markets.

التخصصات الرئيسية

الاقتصاد و التجارة

الموضوعات

• التجارة
• التجارة الحرة
• المغرب
• الولايات المتحدة الأمريكية

عدد الصفحات

29

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-626053