Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model-Reference-Cited by-同舟云学术

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

Published:2023-10-06 Issue:19 Volume:11 Page:4177
ISSN:2227-7390
Container-title:Mathematics
language:en
Short-container-title:Mathematics

Author:

Zaidi Syeda Beena¹^ORCID,Khan Abidullah¹^ORCID,Khan Shabeer²^ORCID,Rehman Mohd Ziaur³^ORCID,Alonazi Wadi B.⁴^ORCID,Noman Abul Ala⁵

Affiliation:

1. Department of Business Administration, Sukkur IBA University, Sukkur 65200, Pakistan

2. College of Business Administration, Al Yamamah University, Riyadh 11512, Saudi Arabia

3. Department of Finance, College of Business Administration, King Saud University, Riyadh 11587, Saudi Arabia

4. Health Administration Department, College of Business Administration, King Saud University, Riyadh 11587, Saudi Arabia

5. Faculty of Management and Economics, Ruhr University Bochum (RUB), 44801 Bochum, Germany

Abstract

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.

Funder

King Saud University, Riyadh, Saudi Arabia

Publisher

MDPI AG

Subject

General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)

Link

https://www.mdpi.com/2227-7390/11/19/4177/pdf

Reference75 articles.

1. Contagion: Macroeconomic models with multiple equilibria;Masson;J. Int. Money Finance,1999

2. No contagion, only interdependence: Measuring stock market co-movements;Forbes;J. Finance,2002

3. Power and Interdependence;Keohane;Survival,1973

4. Solomon, R., and Gault, A. (1977). The Interdependence of Nations: An Agenda for Research, National Science Foundation (U.S.), Directorate of Applied Science and Research Applications, Brookings Institution. Available online: https://books.google.com.pk/books?id=S6lAAAAAIAAJ.

5. On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis;Ahmed;Q. Rev. Econ. Finance,2022