ABSTRACT
This research study examines volatility contagion (spillover) before and during the COVID period from the Chinese stock market (Shanghai stock market) to the Pakistani stock market (Karachi stock market). We used aggregate market datasets and various industry datasets (11 industries according to GICS classification), employed the EGARCH model to investigate the volatility spillover. Our results indicate that volatility demonstrates different characteristics in aggregate data samples as compared to industrial data samples. Moreover, this study finds return spillover and volatility spillover in both datasets (aggregate and industries). This study suggests that stakeholders should analyse both datasets (aggregate and industry) before taking investment decisions. Copyright © 2022 Inderscience Enterprises Ltd.