Volatility Spillover between the Stock Market and the Foreign Market in Pakistan
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- Abdul Qayyum & A. R. Kemal, 2006. "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," Finance Working Papers 22216, East Asian Bureau of Economic Research.
References listed on IDEAS
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Citations
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- Shahid Raza & M. Ali Kemal, 2017. "Daily Stock Market Movements: From the Lens of News and Events," Working Papers id:12188, eSocialSciences.
- Hunjra, Ahmed Imran & Azam, Muhammad & Niazi, Ghulam Shabbir Khan & Butt, Babar Zaheer & Rehman, Kashif-Ur- & Azam, Rauf i, 2010. "Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets," MPRA Paper 40662, University Library of Munich, Germany.
- Nadeem Ul Haque & Musleh-ud Din & Lubna Hasan, 2007. "Research at PIDE: Key Messages," PIDE Books, Pakistan Institute of Development Economics, number 2007:2.
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- Abdul Qayyum & Muhammad Arshad Khan, 2014. "Dynamic Relationship and Volatility Spillover between the Stock Market and the Foreign Exchange Market in Pakistan: Evidence from VAR-EGARCH Modelling," PIDE-Working Papers 2014:103, Pakistan Institute of Development Economics.
- Lucía de las Nieves Morales, 2008. "Volatility Spillovers between Equity and Currency Markets: Evidence from Major Latin American Countries," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 185-215.
- Abdul Qayyum & Idrees Khawaja & Asma Hyder, 2008.
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- Abdul Qayyum & Idrees Khawaja & Asma Hyder, 2008. "Growth Diagnostics in Pakistan," Development Economics Working Papers 22218, East Asian Bureau of Economic Research.
- Bisharat Hussain Chang & Suresh Kumar Oad Rajput & Pervez Ahmed & Zafar Hayat, 2020. "Does Gold Act as a Hedge or a Safe Haven? Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 59(1), pages 69-80.
- Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange," MPRA Paper 47229, University Library of Munich, Germany, revised 04 Apr 2013.
- Naurin, Abida & Qayyum, Abdul, 2016. "Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model," MPRA Paper 69774, University Library of Munich, Germany.
- Muhammad Mansoor Baig & Waheed Aslam & Qaiser Malik & Muhammad Bilal, 2015. "Volatility of Stock Markets (an Analysis of South Asian and G8 Countries)," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 11(6), pages 58-70, December.
- Khalil Jebran & Amjad Iqbal, 2016. "Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-20, December.
- Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
- Abdul Jalil Khan & Parvez Azim & Shabib Haider Syed, 2014. "The Impact of Exchange Rate Volatility on Trade: A Panel Study on Pakistan’s Trading Partners," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(1), pages 31-66, Jan-June.
- Erick Lusekelo Mwambuli & Zhang Xianzhi & Zakayo S. Kisava, 2016. "Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 343-359, December.
- Naurin, Abida & Qayyum, Abdul, 2016. "Impact of Oil Price and Its Volatility on Stock Market Index in Pakistan: Bivariate EGARCH Model," MPRA Paper 70636, University Library of Munich, Germany.
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More about this item
Keywords
Stock Market; Forex Market; EGARCH; Volatility Spillover; Stock Market Returns; Foreign Exchange Return; Pakistan;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2007-04-14 (Central and Western Asia)
- NEP-RMG-2007-04-14 (Risk Management)
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