Jan, Waleed; Jebran, Khalil - In: Pakistan journal of commerce and social sciences 9 (2015) 3, pp. 928-939
This study made a pioneering attempt to investigate volatility spillover from G5 countries stock markets to Karachi … this study are France, Germany, Japan, UK and US. Johansen and Juselius cointegration test was applied to explore long run … relationship between KSE and G5 equity markets. The volatility spillover has been analyzed by GARCH (generalized autoregressive …