Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan
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References listed on IDEAS
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Manish Kumar, 2011. "Return and volatility spillovers: evidence from Indian exchange rates," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(4), pages 371-387.
- Shahid Raza & M. Ali Kemal, 2017. "Daily Stock Market Movements: From the Lens of News and Events," Working Papers id:12188, eSocialSciences.
- Abdul Qayyum & Idrees Khawaja & Asma Hyder, 2008. "Growth Diagnostics in Pakistan," PIDE-Working Papers 2008:47, Pakistan Institute of Development Economics.
- Shahid Raza & M. Ali Kemal, 2017. "Daily Stock Market Movements: From the Lens of News and Events," PIDE-Working Papers 2017:146, Pakistan Institute of Development Economics.
- Ghouse, Ghulam & Khan, Saud Ahmed & Arshad, Muhammad, 2015.
"Time Varying Volatility Modeling of Pakistani and leading foreign stock markets,"
70080, University Library of Munich, Germany.
- Ghouse, Ghulam & Khan, Saud Ahmed & Arshad, Muhammad, 2015. "Time Varying Volatility Modeling of Pakistani and leading foreign stock markets," MPRA Paper 70117, University Library of Munich, Germany.
- 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 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.
- 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.
- 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.
More about this item
KeywordsStock Market; Forex Market; EGARCH; Volatility Spillover; Stock market return; Foreign Exchange return; Pakistan;
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-10 (All new papers)
- NEP-CWA-2007-02-10 (Central & Western Asia)
- NEP-FMK-2007-02-10 (Financial Markets)
- NEP-IFN-2007-02-10 (International Finance)
- NEP-RMG-2007-02-10 (Risk Management)
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