Volatility spillover between stock market and currency market of Pakistan in the presence of structural breaks

Autor:	Muhammad Jamil, Hifsa Mobeen
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	volatility spillover · bai and perron test · egarch model Business HF5001-6182 Economic theory. Demography HB1-3840
Zdroj:	Business Review, Vol 16, Iss 1, Pp 1-12 (2022)
Druh dokumentu:	article
ISSN:	1990-6587 2788-9599
DOI:	10.54784/1990-6587.1377
Popis:	This study examines the volatility transmission between the currency market and the stock market of Pakistan in the presence of structural breaks. For this purpose, daily data from the stock market and currency market is analyzed. An empirical investigation is conducted using the bivariate EGARCH model and the test for multiple structural breaks developed by Bai and Perron (2003). This study analyses these markets with the inclusion of sudden changes. Results of the EGARCH model suggest that volatility spillover is positive and bidirectional between these markets of Pakistan.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/c3a8a3a4188f44cab218d5782e31fd7d Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF