Since 2014
Volatility Spill-over between the Stock Market and the Foreign Exchange Market in Pakistan
Management and Administrative Sciences Review
View Archive Info| Field | Value | |
| Title |
Volatility Spill-over between the Stock Market and the Foreign Exchange Market in Pakistan
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| Creator |
Khalil, Muhammad Zahid; College of Commerce, Government College University, Faisalabad, Pakistan
Usman, Muhammad; College of Commerce, Government College University, Faisalabad, Pakistan Shafique, Imran; Independent Researcher from Pakistan |
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| Subject |
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Mandatory Foreign Exchange Return, Pakistan, EGARCH, Stock Market Returns, Stock Market, Forex Market, Volatility Spill-over |
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| Description |
This paper investigates the instability overflow within stock market and the foreign exchange market in Pakistan. We used GARCH and EGARCH technique for the long term association and the instability overflow is formed. The expected consequences from co-amalgamation examination demonstrate that there is no lasting association connecting the two marketplaces. The consequences from the instability forming demonstrate that the performances of together the stock exchange and the foreign exchange markets are interconnected. The takings of one market are influenced by the instability of the new market. Specifically, the takings of the stock market are responsive to the takings and the instability of the foreign exchange market. Alternatively, takings in the foreign exchange market are denoting relapse which are influenced by the instability of stock market takings. There is a significant association within the instability of the foreign exchange market and the instability of takings in the stock market.
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| Publisher |
Academy of Business & Scientific Research
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| Contributor |
—
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| Date |
2013-11-19
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://absronline.org/journals/index.php/masr/article/view/52
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| Source |
Management and Administrative Sciences Review; Vol 2, No 6 (2013): November; 695-704
2308-1368 2310-872X |
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| Language |
eng
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| Relation |
http://absronline.org/journals/index.php/masr/article/view/52/68
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| Rights |
Copyright (c) 2014 Management and Administrative Sciences Review
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