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The Spill-over Effects between Oil and Gas Marketing and Exploration Firms of Pakistan Stock Exchange (PSX) KSE-100 index: During the Times of COVID-19 and Russian-Ukraine War

Author

Listed:
  • Ahmad Yousaf

    (Department of Economics, University of Lahore, Pakistan)

  • Ufaq Adeel

    (Department of Economics, University of Lahore, Pakistan)

  • Muhammad Hanan Arshad

    (Department of Economics, University of Lahore, Pakistan)

Abstract

This study aims to trace the mean and volatility spillover effects between oil and gas marketing and exploration firms registered in KSE-100 index in the Pakistan Stock Exchange (PSX). Daily data of 8 firms (MGAS PPL PKOL APL HITE HASC PSO and SHEL) for the period of 30th November 2019 to 30th November 2022. The whole data set is divided into two subsets one is after COVID-19 (after 26th February2020) and the other is after the start of Russian-Ukraine war (after 24th February 2022). After that Hamao et.al (1990) uni-variate ARCH-GARCH type modeling is employed to the data in order to explore the dynamic linkages between the Marketing and Exploration firms (oil and gas) registered in KSE-100 index (PSX). The results from the data sets are indicating that there is mix movements between the oil and gas marketing and exploration firms in the KSE-100 index (PSX). The results are providing evidence there is Mean spill over from MGAS to APL, HASC, HITE PSO and SHEL. From PKOL to APL HASC HITE PSO and SHE. From PPL to APL HITE PSO. And there is Volatility spill over from MGAS to APL HITE PSO and SHEL. From PKOL to APL HITE PSO and SHEL. From PPL to APL HASC HITE PSO and SHEL. This linkage is developed between MGAS PPL and PKOL to APL HASC HITE PSO and SHEL due to the co-movements among the mentioned firms. The Augmented Dickey-Fuller Test is run on the return series and the test is insignificant in all series which is indicating that our return series are stationary at level ARCH-LM test is run on return series and ARCH-LM test is also insignificant in all the return series means that there is no heteroskedasticity present in the return series.

Suggested Citation

  • Ahmad Yousaf & Ufaq Adeel & Muhammad Hanan Arshad, 2023. "The Spill-over Effects between Oil and Gas Marketing and Exploration Firms of Pakistan Stock Exchange (PSX) KSE-100 index: During the Times of COVID-19 and Russian-Ukraine War," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(4), pages 65-78.
    • Handle: RePEc:rfh:bbejor:v:12:y:2023:i:4:p:65-78
    DOI: https://doi.org/10.61506/01.00083
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    References listed on IDEAS

    as
    1. Sulehri, Fiaz Ahmad & Ali, Amjad, 2020. "Impact of Political Uncertainty on Pakistan Stock Exchange (1990-1999): An Event Study Approach," MPRA Paper 104623, University Library of Munich, Germany.
    2. Khalid Mumtaz Khan & Naeem Ullah, 2021. "Post COVID-19 financial distress in Pakistan: Prediction of corporate defaults at Pakistan Stock Exchange," Liberal Arts and Social Sciences International Journal (LASSIJ), IDEA PUBLISHERS, vol. 5(1), pages 386-400.
    3. Ghouse, Ghulam & Bhatti, Muhammad Ishaq & Aslam, Aribah & Ahmad, Nawaz, 2023. "Asymmetric spillover effects of Covid-19 on the performance of the Islamic finance industry: A wave analysis and forecasting," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
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    5. Ahmed, Shehar Yar, 2020. "Impact of COVID-19 on Performance of Pakistan Stock Exchange," MPRA Paper 101540, University Library of Munich, Germany.
    6. Ali, Amjad & Ehsan, Rehan & Audi, Marc & Hamadeh, Hani Fayad, 2022. "Does Globalization Promote Financial Integration in South Asian Economies? Unveiling the Role of Monetary and Fiscal Performance in Internationalization," MPRA Paper 115304, University Library of Munich, Germany.
    7. Marc Audi & Fiaz Ahmad Sulehri & Amjad Ali & Razan Al-Masri, 2022. "An Event Based Analysis of Stock Return and Political Uncertainty in Pakistan: Revisited," International Journal of Economics and Financial Issues, Econjournals, vol. 12(5), pages 39-56, September.
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    9. Khalid Mumtaz Khan & Naeem Ullah, 2021. "Post COVID-19 financial distress in Pakistan: Prediction of corporate defaults at Pakistan Stock Exchange," Liberal Arts and Social Sciences International Journal (LASSIJ), IDEA PUBLISHERS, vol. 5(1), pages 286-400.
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