Volatility spillover between stock market and currency market of Pakistan in the presence of structural breaks

Muhammad Jamil () and Hifsa Mobeen
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Muhammad Jamil: University of Azad Jammu & Kashmir-Pakistan
Hifsa Mobeen: Pakistan Institute of Development Economics-Pakistan

Business Review, 2021, vol. 16, issue 1, 1-12

Abstract: This study examines the volatility transmission between the currency market and the stock market of Pakistan in the presence of structural breaks. For this purpose, daily data from the stock market and currency market is analyzed. An empirical investigation is conducted using the bivariate EGARCH model and the test for multiple structural breaks developed by Bai and Perron (2003). This study analyses these markets with the inclusion of sudden changes. Results of the EGARCH model suggest that volatility spillover is positive and bidirectional between these markets of Pakistan.

Keywords: Volatility; spillover; ·; Bai; and; Perron; test; ·; EGARCH; Model (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:aho:journl:v:16:y:2021:i:1:p:1-12

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