International Journal For Multidisciplinary Research

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Sectoral Contagion and Volatility Spillovers at the Casablanca Stock Exchange : A DCC-GARCH and Diebold-Yilmaz Network Approach

Author(s) Mr. Rachid MAGHNIWI
Country Morocco
Abstract This paper investigates the dynamics of cross-sectoral volatility transmission within the Casablanca Stock Exchange (CSE), an increasingly prominent equity market in the MENA region. We employ a Dynamic Conditional Correlation GARCH (DCC-GARCH) framework to estimate time-varying correlations among six key sectoral indices over the period January 2015 to December 2024. Building upon these pairwise estimates, we construct a Diebold-Yilmaz connectedness network to quantify directional volatility spillovers across sectors. Our empirical findings reveal that the banking sector operates as the dominant transmitter of volatility shocks, accounting for approximately 38.2% of total system-wide spillover contributions. The real estate and telecommunications sectors emerge as the principal receivers of these transmitted shocks. The total connectedness index fluctuates considerably over the sample period, spiking during episodes of macroeconomic stress such as the COVID-19 pandemic and the announcement of the 2030 FIFA World Cup co-hosting arrangement. A rolling-window analysis confirms that the network topology undergoes substantial restructuring during crisis periods, with inter-sectoral correlations rising sharply and the network becoming more densely interconnected. These results carry meaningful implications for portfolio diversification, systemic risk monitoring, and the design of macroprudential policies in emerging market settings. Our study contributes to the growing body of evidence on financial contagion in African capital markets and offers a novel perspective on the internal transmission mechanisms operating within a concentrated equity market.
Keywords Volatility spillovers; DCC-GARCH; Diebold-Yilmaz connectedness; Casablanca Stock Exchange; sectoral contagion; emerging markets
Field Business Administration
Published In Volume 8, Issue 3, May-June 2026
Published On 2026-06-02
DOI https://doi.org/10.36948/ijfmr.2026.v08i03.80252
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