Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model
Syeda Beena Zaidi,
Abidullah Khan,
Shabeer Khan
et al.
Abstract:This study aims to provide important insights regarding the integrated structure of global factors and Pakistan’s leading sector-level indices by estimating the dynamic network and pairwise connectedness of the global crude oil index, MSCI index, European economic policy uncertainty index, and important sector-level indices of Pakistan based on QVAR using daily frequency over the period of 20 years from 2002 to 2022. The findings demonstrate high interconnectedness among global factors indices and Pakistan’s l… Show more
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