Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model

Autor:	Syeda Beena Zaidi, Abidullah Khan, Shabeer Khan, Mohd Ziaur Rehman, Wadi B. Alonazi, Abul Ala Noman
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	time series analysis economic policy uncertainty interdependence market structures global factors quantile VAR Mathematics QA1-939
Zdroj:	Mathematics, Vol 11, Iss 19, p 4177 (2023)
Druh dokumentu:	article
ISSN:	2227-7390
DOI:	10.3390/math11194177
Popis:	This study aims to provide important insights regarding the integrated structure of global factors and Pakistan’s leading sector-level indices by estimating the dynamic network and pairwise connectedness of the global crude oil index, MSCI index, European economic policy uncertainty index, and important sector-level indices of Pakistan based on QVAR using daily frequency over the period of 20 years from 2002 to 2022. The findings demonstrate high interconnectedness among global factors indices and Pakistan’s leading sector-level indices. The results of net directional connectivity showed that the EPEUI, WTI, and MSCI indices are the “net receivers” of volatility spillover. At the same time, the financial and energy sectors are the “net transmitter” of shocks. Connectedness is high amid financial upheavals. The research findings provide crucial insights for policymakers, businesses, portfolio managers, and investors.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/6d2882ce8ed94a8ab45aabf1dd3661c2 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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