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A Study on Long Term Relationship among Pakistani Stock Market With Asian Stock Markets

Journal of Management Info

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Title A Study on Long Term Relationship among Pakistani Stock Market With Asian Stock Markets
 
Creator Shezad, Anjum; Comsats Institute of Information Technology Attock
Jan, Farzand Ali; Comsats Institute of Information Technology Attock
Yaseen, Muhammad; Department of Management Science
 
Subject Co-integration; Equity Stock Markets; Market Trends; Stock Prices; Portfolio Diversification
 
Description The main purpose and scope of this study is to explore causal and dynamic linkages of Karachi Stock Exchange, KSE-100 index (Pakistan) with emerging stock markets of Nikkei-225 (Japan), Shanghai Stock Exchange, SSE (China), Kuala Lumpur Stock Exchange, KLSE (Malaysia) and Taiwan Stock Exchange Corporation, TSEC Taiwan. The most recent data has taken from January 2001 to December 2013. Monthly stock index observations are taken. Descriptive statistics, Correlation Analysis, Unit Root Test, VAR, Co-integration Test, VECM Test are used to identify the presence of short-term as well as long-term associations. Empirical results indicate that KSE-100 is a volatile market and have suitable level of returns. Moreover, KSE-100 index has not long-term relationship with Japan, Malaysia, Taiwan and China but Taiwan, China and Japan has short run relationships to KSE. Furthermore, study explores that the major change in KSE-100 is owed to its own innovations whereas other selected Asian equity markets have no significant impact on the KSE The findings conclude that there is a further need of future study to explore the factors of economic integration amongst these equity markets. The study overall exhibits awareness not only for economic and financial decision makers but also for international as well as  regional investors about the benefit opportunities of portfolio diversification in these equity markets, funds management and trends of the stock market.
 
Publisher Readers insight Publisher
 
Contributor —
 
Date 2015-03-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
 
Format image/pdf
 
Identifier http://jmi.readersinsight.net/index.php/jmi/article/view/32
 
Source Journal Of Management Info; Vol 5, No 1 (2015): Volume 5, Issue 1; 1-25
2313-3376
 
Language eng
 
Relation http://jmi.readersinsight.net/index.php/jmi/article/view/32/pdf_22
 
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http://creativecommons.org/licenses/by/4.0