期刊名称：International Research Journal of Finance and Economics
印刷版ISSN：1450-2887
电子版ISSN：1450-2887
出版年度：2017
期号：164
页码：101-115
出版社：European Journals Inc.
摘要：This study investigates the association between oil price shocks and stock returns in Morocco. More precisely, it determines whether there is a statistically significant impact of oil shocks on MASI returns as well as on different economic sectors listed in the Moroccan stock market. The data will be analyzed in a (DCC MGARCH) model developed by Engel in 2002. This model enables forecasting and analyzing volatility of time series. As Morocco subsidizes fuel, an increase in oil price is absorbed by the government’s investment budget causing a balance of trade deficit that negatively affects the growth of the country. This fund could be used in improving infrastructure and creating jobs. A slowdown in the economy negatively affects the stock market and companies’ earnings. Thus, the results of this paper have many implications on policy makers as well as private and institutional investors. In addition, the findings of this study indicate an existence of a significant correlation between oil, MASI index and the Moroccan economic sectors, and these correlations fluctuate during events that trigger oil price shocks. Moreover, this study shows a spillover effect between the volatility of the Moroccan market and the oil market
