Dynamic Relationship and Volatility Spillover between the Stock Market and the Foreign Exchange Market in Pakistan: Evidence from VAR-EGARCH Modelling
Published By: Pakistan Institute of Development Economics (PIDE) | Published Date: June, 01 , 2014The paper examines the dynamic relationship and volatility spillovers between the stock market and the foreign exchange market in Pakistan using weekly data from 02 July, 1997 to 04 July 2012. Johansen cointegration test is used to determine long run relationship between stock price index and exchange rate.
Author(s): Abdul Qayyum, Muhammad Arshad Khan | Posted on: Feb 03, 2016 | Views() | Download (166)