market in Pakistan using weekly data from 02 July, 1997 to 04 July 2012. We have used Johansen cointegration test to …The paper examines the dynamic relationship and volatility spillovers between the stock market and the foreign exchange … long-run relationship between the stock price index and exchange rate. Furthermore, volatility spillover is modelled …

Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For … the longrun relationship we use the Engle Granger two-step procedure and the volatility spillover is modelled through the … bivariate EGARCH method. The estimated results from cointegration analysis show that there is no long-run relationship between …