Correlation Dynamics of Equity Markets in Pakistan and India: A Comparative Study in the Context of Financial Crisis

Dynamic Linkages among Selected South Asian Countries’Stock Markets

“…Similar studies were conducted by various researcher [18,21] emerging stock market integration and contagion in the context of global financial crisis, Sugimoto and Yoshida in African and Khan [22] in equity market of India and Pakistan's Financial Crisis; econometric techniques were used [21,23] as Multiple Generalized Autoregressive Conditional Heteroskedasticity (MGARCH), Autoregressive Conditional Heteroskedasticity (ARCH), Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Vector Auto Regression (VAR) Model and Granger Causality Test. Ullah et al [24] used these models Unit Root Test, Co-integration and correlation; Siminica and Birau [18] used previous model but these test are also used HP and BDS test. Trivedi and Birau [21] suggested that emerging stock markets are highly depended on moment index.…”

“…Trivedi and Birau [21] suggested that emerging stock markets are highly depended on moment index. Ullah et al found that develop and developing countries have dynamic equity relationship [24].…”