Mechanism of Volatility Spillover Between Stock, Currency, and Commodity Markets of Pakistan

Muhammad Jamil () and Hifsa Mobeen
Additional contact information
Hifsa Mobeen: School of Economics, Quaid-i-Azam University, Islamabad.

The Pakistan Development Review, 2021, vol. 60, issue 1, 49-64

Abstract: This research aims to examine the mechanism of volatility transmission between stock, currency, and commodity markets of Pakistan. For this purpose, daily data covering the period August 4, 1997 to August 31, 2016 is analysed. Empirical investigation is conducted by using EGARCH model. The strength of the study is analysis of the commodity market together with stock and currency markets of Pakistan. Results of the EGARCH model suggests that bidirectional volatility spillover exists between all the bivariate cases of the three markets except in the case of volatility spillover from the currency market to the commodity market.

Keywords: Stock; Currency and Commodity Markets; Volatility Spillover; EGARCH Model (search for similar items in EconPapers)
JEL-codes: C13 F31 F36 G10 Q43 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.pide.org.pk/pdf/PDR/2020/Volume1/49-64.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pid:journl:v:60:y:2021:i:1:p:49-64

Access Statistics for this article

More articles in The Pakistan Development Review from Pakistan Institute of Development Economics Contact information at EDIRC.
Bibliographic data for series maintained by Khurram Iqbal ().