Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach

Joyo, Ahmed Shafique; Lefen, Lin

doi:10.3390/su11020303

Cited by 36 publications

(22 citation statements)

References 54 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The results of the preliminary analysis also showed that there are co-movement patterns of higher frequencies during the crisis's periods of 1997, 2008, and 2015. The closeness among the stock markets considered economies show that the crisis period converged the economies reducing the differentials of the return on the stock markets of the Asian emerging economies as found by [4]. The closeness of the stock market movements show the integration of the stock markets thus bringing these economies closer.…”

Section: Discussionmentioning

confidence: 71%

“…There has been burgeoning research on the stock market linkage to understand the market behavior and the investment opportunities using stock market data. The past researchers have used different tools like Correlation coefficient, GARCH models, and Copula models [79]. Besides these models, Wavelet model has proved an appropriate alternative to other time series models.…”

Section: Plos Onementioning

confidence: 99%

“…They get affected by economic fundamentals and the global economic shocks [ 1 ]. With globalization, the international capital flow among the markets has increased, which make different markets affect each other’s performance [ 2 – 4 ]. Since the late 1990s, the global economies have been affected by the economic crisis which resulted in increased co-movements among the stock markets around the globe [ 5 ].…”

Section: Introductionmentioning

confidence: 99%

“…The change in the stock market comovement has changed the investing strategies of the portfolio investors around the world, thus making the stock market interconnection a subject of interest for the researchers. Many pieces of research have analyzed the stock market movements giving special reference to Mexican peso-devaluation (1994), the East Asian financial crisis (1997), global financial crisis (2009) and so on, which can be found widely in the literature [ 2 – 4 , 6 ]. Besides the individual researchers the global economic and monitory institutions like the International Monetary Fund (IMF), Banks for International Settlements (BIS), Financial Stability Board (FSB) and other regulatory authorities have studied the nexus of the international stock markets with the standpoint of the systemic risk which was underestimated across the board before the crisis.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Stock market comovements among Asian emerging economies: A wavelet-based approach

et al. 2020

Self Cite

View full text Add to dashboard Cite

Stock market, is one of the most important financial market which has a close relationship with a country's economy, due to which it is often called the barometer of the economy. Over the past 25 years, the stock markets have been affected by different global economic shocks. Various researchers have analyzed different aspects of these effects one by one, however, this study is an assessment of stock market interrelationship of emeriging Asian economies which include most of the East Asian, and Southeast Asian emerging economies with special focus on China for past decades during which different crisis occurred. We used Morgan Stanley capital international (MSCI) daily indices data for each stock market and compared Chinese stock market with the stock markets of India, Pakistan, Malaysia, Singapore, and Indonesia. We analyzed the data through the individual wavelet power spectrum, cross-wavelet transform and wavelet coherence, to determine the correlation and volatility among the selected stock markets. These model have the power to analyze co-movements among these countries with respect to both frequency and time spaces. Our findings show that there are co-movement patterns of higher frequencies during the crises periods of 1997, 2008 and 2015. The dependency strength among the considered economies is noted to increase in the crisis periods, which implies increased short-and long-term benefits for the investors. From a financial point of view, it has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR (Value at Risk) levels of a multi-country portfolio. Furthermore, the stock market of China shows a high correlation with the other six Asian stock emerging markets in both high and low-frequency spectrums. The association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades. These findings are useful for investors, portfolio managers and the policymaker around the globe.

show abstract

Section: Discussionmentioning

confidence: 71%

Section: Plos Onementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Stock market comovements among Asian emerging economies: A wavelet-based approach

et al. 2020

Self Cite

View full text Add to dashboard Cite

show abstract

“…Recently, there have been many studies to obtain the strategy for sustainable and effective portfolio selection with various approaches [20][21][22][23]. In this paper, a well-established benchmark (e.g., Dow 30 index), which offers sustainable and stable risk-return profiles with low costs, is used to propose an effective strategy for constructing a portfolio.…”

Section: Literature Reviewsmentioning

confidence: 99%

Dantzig Type Optimization Method with Applications to Portfolio Selection

Park

Lee

et al. 2019

Sustainability

View full text Add to dashboard Cite

This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio. Based on the formulations, this paper proposes two portfolio selection methods, west and north portfolio selection, and investigates their empirical properties. Numerical results presented for 12 datasets and various simulated data show that the west selection can reduce risk, and the north selection may outperform the benchmark as to risk-adjusted returns (based on, e.g., information ratio and Sharpe ratio).

show abstract

Developed and Emerging Stock Markets Volatility During the Global Pandemic of Coronavirus Disease 2019 (COVID-19): Dynamic Correlation Approach

Rakpho

Yamaka

Chitkasame

2021

Prediction and Causality in Econometrics and Related Topics

View full text Add to dashboard Cite

This paper examines the dynamic volatility relationship following the COVID-19 impacts in three developed stock markets (DM) and three emerging stock markets (EM) using the DCC-GARCH-type models with various distributions. The finding indicates that the DCC-GARCH-X model with student-t distribution outperforms those with Gaussian and Skew student-t distributions for our dataset. Volatilities were found to be high during the COVID-19 pandemic and they were higher in the emerging markets than in the developed markets. The result on the volatility of each country confirms the high persistence of volatility in all stock market returns except for Italy. Our empirical results highlight the weak positive impact of COVID-19 pandemic on some developed and emerging stock volatilities.

show abstract

Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach

Cited by 36 publications

References 54 publications

Stock market comovements among Asian emerging economies: A wavelet-based approach

Stock market comovements among Asian emerging economies: A wavelet-based approach

Dantzig Type Optimization Method with Applications to Portfolio Selection

Developed and Emerging Stock Markets Volatility During the Global Pandemic of Coronavirus Disease 2019 (COVID-19): Dynamic Correlation Approach

Contact Info

Product

Resources

About