Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model

Syeda Beena Zaidi, Abidullah Khan, Shabeer Khan, Mohd Ziaur Rehman (), Wadi B. Alonazi and Abul Ala Noman
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Syeda Beena Zaidi: Department of Business Administration, Sukkur IBA University, Sukkur 65200, Pakistan
Abidullah Khan: Department of Business Administration, Sukkur IBA University, Sukkur 65200, Pakistan
Shabeer Khan: College of Business Administration, Al Yamamah University, Riyadh 11512, Saudi Arabia
Mohd Ziaur Rehman: Department of Finance, College of Business Administration, King Saud University, Riyadh 11587, Saudi Arabia
Wadi B. Alonazi: Health Administration Department, College of Business Administration, King Saud University, Riyadh 11587, Saudi Arabia
Abul Ala Noman: Faculty of Management and Economics, Ruhr University Bochum (RUB), 44801 Bochum, Germany

Mathematics, 2023, vol. 11, issue 19, 1-17

Abstract: This study aims to provide important insights regarding the integrated structure of global factors and Pakistan’s leading sector-level indices by estimating the dynamic network and pairwise connectedness of the global crude oil index, MSCI index, European economic policy uncertainty index, and important sector-level indices of Pakistan based on QVAR using daily frequency over the period of 20 years from 2002 to 2022. The findings demonstrate high interconnectedness among global factors indices and Pakistan’s leading sector-level indices. The results of net directional connectivity showed that the EPEUI, WTI, and MSCI indices are the “net receivers” of volatility spillover. At the same time, the financial and energy sectors are the “net transmitter” of shocks. Connectedness is high amid financial upheavals. The research findings provide crucial insights for policymakers, businesses, portfolio managers, and investors.

Keywords: time series analysis; economic policy uncertainty; interdependence market structures; global factors; quantile VAR (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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