Stock Market Integration & Volatility Spillover: Evidence from Pakistan & Its Major Trading Partners
Download
Author:
MUHAMMAD SHAFIQUE KHAN
Citable URI :
https://vspace.vu.edu.pk/detail.aspx?id=101
Publisher :
Virtual University of Pakistan
Date Issued:
7/10/2015 12:00:00 AM
Abstract
This study examined the stock market integration and volatility spillover among Pakistan and its major trading partners for the period July 2000 to June 2014. Pakistan’s major trading partners included in this study are United States of America, Japan, India, China, Malaysia, United Kingdom and Germany. Therefore, the variables of this study are the selected stock market of respective trading partners i.e. India (Bombay stock exchange), Indonesia (JSX), China (SSE), USA (NYSC), Japan (Nikkei), Germany (DAX) and UK (FTSE. Moreover, Johansen and Juselius. Co-integration test was applied to investigate integration among all stock markets. Vector Error Correction Model and granger causality tests were also used. However, to investigate the volatility spillover GARCH and EGRACH techniques were used. The results of co-integration showed that, there is integration among the markets. The result finds evidence of one long run association-ship between the selected stock markets. There is uni-directional granger cause from DAX, FTSE, BSE, NEKKEI and NYSE to KSE. Overall, the result of above test does not show any bidirectional relationship among stock market of selected countries.
URI :
https://vspace.vu.edu.pk/details.aspx?id=101
Citation:
Khan, M. S. (2015). Stock Market Integration & Volatility Spillover: Evidence from Pakistan & Its Major Trading Partners . Virtual University of Pakistan, (Lahore, Pakistan).
Version :
Final Version
Terms of Use :
All the material and results are copyright of Virtual University of Pakistan
Detailed Terms :
Journal :
Files in this item |
Name |
Size |
Format |
Spring 2015_RTS720_mb130400075.pdf |
1988kb |
pdf |