Volatility spillovers between France and Spain with Morocco and Tunisia
Dissertant
Thesis advisor
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
No. of Pages
33
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Literature review.
Chapter Three : Data description.
Chapter Four : Methodology.
Chapter Five : Empirical results.
Conclusion.
References.
American Psychological Association (APA)
Sofia, Sbiti. (2013). Volatility spillovers between France and Spain with Morocco and Tunisia. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-629194
Modern Language Association (MLA)
Sofia, Sbiti. Volatility spillovers between France and Spain with Morocco and Tunisia. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2013).
https://search.emarefa.net/detail/BIM-629194
American Medical Association (AMA)
Sofia, Sbiti. (2013). Volatility spillovers between France and Spain with Morocco and Tunisia. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-629194
Language
English
Data Type
Arab Theses
Record ID
BIM-629194