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

Muhammad Jamil, Hifsa Mobeen

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. JEL Classifications: Q43, G10, C13, F31, F36
Keywords: Stock, Currency and Commodity Markets, Volatility Spillover,
EGARCH Model

Full Text:

PDF


DOI: https://doi.org/10.30541/v60i1pp.49-64

Refbacks

  • There are currently no refbacks.