Morocco and US equity markets linkage after FTA signature implications for international portfolio diversification
Dissertant
Thesis advisor
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2008
English Abstract
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.
Main Subjects
Topics
No. of Pages
29
Table of Contents
Table of contents.
Abstract.
Chapter One : Background and introduction.
Chapter Two : Literature review.
Chapter Three : Methodology.
Chapter Four : Data description.
Chapter Five : Empirical findings.
Chapter Six : Conclusion and recommendations.
References.
American Psychological Association (APA)
Boujir, Ashraf. (2008). Morocco and US equity markets linkage after FTA signature implications for international portfolio diversification. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626053
Modern Language Association (MLA)
Boujir, Ashraf. Morocco and US equity markets linkage after FTA signature implications for international portfolio diversification. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2008).
https://search.emarefa.net/detail/BIM-626053
American Medical Association (AMA)
Boujir, Ashraf. (2008). Morocco and US equity markets linkage after FTA signature implications for international portfolio diversification. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-626053
Language
English
Data Type
Arab Theses
Record ID
BIM-626053
