Volatility Spillover between the Stock Market and the Foreign Market in Pakistan
Published By: Pakistan Institute of Development Economics (PIDE) | Published Date: January, 01 , 2006The paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For the longrun relationship we use the Engle Granger two-step procedure and the volatility spillover is modelled through the bivariate EGARCH method. The estimated results from cointegration analysis show that there is no long-run relationship between the two markets.
Author(s): Abdul Qayyum, A. R. Kemal | Posted on: Feb 17, 2016 | Views() | Download (177)