Volatility contagion (spillover) between Chinese and Pakistani stock markets during COVID-19: pre and post analysis of trade-level data

Syed Faisal Hasan Bukhari, Habib Ahmad, Hasan Hanif and Syed Farhan Shah

International Journal of Monetary Economics and Finance, 2022, vol. 15, issue 4, 309-330

Abstract: This research study examines volatility contagion (spillover) before and during the COVID period from the Chinese stock market (Shanghai stock market) to the Pakistani stock market (Karachi stock market). We used aggregate market datasets and various industry datasets (11 industries according to GICS classification), employed the EGARCH model to investigate the volatility spillover. Our results indicate that volatility demonstrates different characteristics in aggregate data samples as compared to industrial data samples. Moreover, this study finds return spillover and volatility spillover in both datasets (aggregate and industries). This study suggests that stakeholders should analyse both datasets (aggregate and industry) before taking investment decisions.

Keywords: volatility spillover; COVID-19; pandemic; contagious; portfolio diversification; financial crisis; interdependence. (search for similar items in EconPapers)
Date: 2022
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