Volatility contagion (spillover) between Chinese and Pakistani stock markets during COVID-19: pre and post analysis of trade-level data
International Journal of Monetary Economics and Finance
; 15(4):309-330, 2022.
Article
in English
| Scopus | ID: covidwho-2197260
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.
Full text:
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Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Experimental Studies
Language:
English
Journal:
International Journal of Monetary Economics and Finance
Year:
2022
Document Type:
Article
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