Abstract:This study investigates the contagion and globalization between the South Asian (Pakistan, India, Bangladesh and Sri Lanka) and five largest economies (US, UK, China, Japan and Germany) stock markets. Daily stock returns data from 1st July 1997 to 30th June 2015 consisting of total 4695 observation is analyzed. DCC GARCH is applied to calculate the conditional correlation coefficients to overcome the issue of heteroscedasticity. Null hypothesis of no globalization got rejected eleven times out of twenty while… Show more
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