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Dynamic Relationship and Volatility Spillover between the Stock Market and the Foreign Exchange Market in Pakistan: Evidence from VAR-EGARCH Modelling
Qayyum, Abdul; Khan, Muhammad Arshad - Pakistan Institute of Development Economics - 2014
through bivariate EGARCH framework. The result from the EGARCH models reveals two-way volatility spillovers. The returns of …
Persistent link: https://www.econbiz.de/10010791553
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Volatility Spillover between the Stock Market and the Foreign Market in Pakistan
Qayyum, Abdul; Kemal, A. R. - Pakistan Institute of Development Economics - 2006
bivariate EGARCH method. The estimated results from cointegration analysis show that there is no long-run relationship between …
Persistent link: https://www.econbiz.de/10005626232
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Stock Market Liberalisations in the South Asian Region
Husain, Fazal; Qayyum, Abdul - Pakistan Institute of Development Economics - 2006
This study attempts to conduct an investigation of the characteristics of the South Asian stock markets including the effects of the opening of these markets. These markets were liberalised in early 1990s as a part of the economic reforms started in the South Asian region about two decades ago....
Persistent link: https://www.econbiz.de/10005745342