The Spill-over Effects between Oil and Gas Marketing and Exploration Firms of Pakistan Stock Exchange (PSX) KSE-100 index: During the Times of COVID-19 and Russian-Ukraine War

Ahmad Yousaf, Ufaq Adeel and Muhammad Hanan Arshad
Additional contact information
Ahmad Yousaf: Department of Economics, University of Lahore, Pakistan
Ufaq Adeel: Department of Economics, University of Lahore, Pakistan
Muhammad Hanan Arshad: Department of Economics, University of Lahore, Pakistan

Bulletin of Business and Economics (BBE), 2023, vol. 12, issue 4, 65-78

Abstract: This study aims to trace the mean and volatility spillover effects between oil and gas marketing and exploration firms registered in KSE-100 index in the Pakistan Stock Exchange (PSX). Daily data of 8 firms (MGAS PPL PKOL APL HITE HASC PSO and SHEL) for the period of 30th November 2019 to 30th November 2022. The whole data set is divided into two subsets one is after COVID-19 (after 26th February2020) and the other is after the start of Russian-Ukraine war (after 24th February 2022). After that Hamao et.al (1990) uni-variate ARCH-GARCH type modeling is employed to the data in order to explore the dynamic linkages between the Marketing and Exploration firms (oil and gas) registered in KSE-100 index (PSX). The results from the data sets are indicating that there is mix movements between the oil and gas marketing and exploration firms in the KSE-100 index (PSX). The results are providing evidence there is Mean spill over from MGAS to APL, HASC, HITE PSO and SHEL. From PKOL to APL HASC HITE PSO and SHE. From PPL to APL HITE PSO. And there is Volatility spill over from MGAS to APL HITE PSO and SHEL. From PKOL to APL HITE PSO and SHEL. From PPL to APL HASC HITE PSO and SHEL. This linkage is developed between MGAS PPL and PKOL to APL HASC HITE PSO and SHEL due to the co-movements among the mentioned firms. The Augmented Dickey-Fuller Test is run on the return series and the test is insignificant in all series which is indicating that our return series are stationary at level ARCH-LM test is run on return series and ARCH-LM test is also insignificant in all the return series means that there is no heteroskedasticity present in the return series.

Keywords: PSX Pakistan stock exchange; DER Debt-to-equity ratio; ROA Return on assets; Arch LM test: Autoregressive Conditional Heteroscedasticity Lagrange Multiplier (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bbejournal.com/BBE/article/view/579/454 (application/pdf)
https://bbejournal.com/BBE/article/view/579 (text/html)

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:rfh:bbejor:v:12:y:2023:i:4:p:65-78

DOI: 10.61506/01.00083

Access Statistics for this article

Bulletin of Business and Economics (BBE) is currently edited by Dr. Muhammad Irfan Chani

More articles in Bulletin of Business and Economics (BBE) from Research Foundation for Humanity (RFH) Contact information at EDIRC.
Bibliographic data for series maintained by Dr. Muhammad Irfan Chani ().