Volatility spillovers between France and Spain with Morocco and Tunisia

Dissertant

Sofia, Sbiti

Thesis advisor

Lahrash, Abd al-Munim

University

Al Akhawayn University

Faculty

The School of Business Administration

University Country

Morocco

Degree

Master

Degree Date

2013

English Abstract

This research paper examines the volatility spillovers among four financial markets, namely France, Spain, Morocco and Tunisia over a ten years period going from 2002-2011.

A GARCH (Generalized Autoregressive Conditional Heteroscedasticity) Model and Granger Causality test are used in order to examine the riskiness and the relationship existing between the four indices’ returns.

The findings show that the volatility, generated by the model used, displays important fluctuations.

In addition, the Granger Causality test assessed the relationships existing among the four countries.

This study uses daily indices’ returns for each of the countries for a ten years period.

The results will be of great importance for policy makers and managers for volatility spillover plays an important role in finance and thus these findings will be helpful in setting guidelines for decision making.

Main Subjects

Financial and Accounting Sciences

Topics

• Financial markets
• Tunisia
• Morocco
• Spain
• France

No. of Pages

33

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-629194