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Mechanism of Volatility Spillover Between Stock, Currency, and Commodity Markets of Pakistan

Author

Listed:
  • Muhammad Jamil

    (School of Economics, Quaid-i-Azam University, Islamabad)

  • Hifsa Mobeen

    (School of Economics, Quaid-i-Azam University, Islamabad.)

Abstract

This research aims to examine the mechanism of volatility transmission between stock, currency, and commodity markets of Pakistan. For this purpose, daily data covering the period August 4, 1997 to August 31, 2016 is analysed. Empirical investigation is conducted by using EGARCH model. The strength of the study is analysis of the commodity market together with stock and currency markets of Pakistan. Results of the EGARCH model suggests that bidirectional volatility spillover exists between all the bivariate cases of the three markets except in the case of volatility spillover from the currency market to the commodity market.

Suggested Citation

  • Muhammad Jamil & Hifsa Mobeen, 2021. "Mechanism of Volatility Spillover Between Stock, Currency, and Commodity Markets of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 60(1), pages 49-64.
    • Handle: RePEc:pid:journl:v:60:y:2021:i:1:p:49-64
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    More about this item

    Keywords

    Stock; Currency and Commodity Markets; Volatility Spillover; EGARCH Model;
    All these keywords.

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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