Volatility Spillover Effects in the Moroccan Interbank Sector before and during the COVID-19 Crisis

نویسندگان

چکیده

The objective of this paper is to analyze the volatility spillover effects in Moroccan interbank sector before and during COVID-19 pandemic crisis using DY model. Specifically, study assesses impact recent outbreak on transmission among banks listed stock market. data sample frequency daily extends from 1 January 2012 31 December 2021, excluding holidays. empirical results indicate that index increased crisis. We also found varying degrees interdependence between six publicly traded banking

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ژورنال

عنوان ژورنال: Risks

سال: 2022

ISSN: ['2227-9091']

DOI: https://doi.org/10.3390/risks10060125