The Spill-over Effects between Oil and Gas Marketing and Exploration Firms of Pakistan Stock Exchange (PSX) KSE-100 index: During the Times of COVID-19 and Russian-Ukraine War

Abstract

This study aims to trace the mean and volatility spillover effects between oil and gas marketing and exploration firms registered in KSE-100 index in the Pakistan Stock Exchange (PSX). Daily data of 8 firms (MGAS, PPL, PKOL, APL, HITE, HASC, PSO, and SHEL) for the period of 30th November 2019 to 30th November 2022. The whole data set is divided into two subsets, one is after COVID-19 (after 26th February2020) and the other is after the start of Russian-Ukraine war (after 24th February 2022). After that Hamao et.al (1990) uni-variate ARCH-GARCH type modeling is employed to the data in order to explore the dynamic linkages between the Marketing and Exploration firms (oil and gas) registered in KSE-100 index (PSX). The results from the data sets are indicating that there is mix movements between the oil and gas marketing and exploration firms in the KSE-100 index (PSX). The results are providing evidence there is Mean spill over from MGAS to APL, HASC, HITE, PSO, and SHEL. From PKOL to APL, HASC, HITE, PSO, and SHEL. From PPL to APL, HITE, PSO. And there is Volatility spill over from MGAS to APL, HITE, PSO and SHEL. From PKOL to APL, HITE, PSO, and SHEL. From PPL to APL, HASC, HITE, PSO, and SHEL. This linkage is developed between MGAS, PPL, and PKOL to APL, HASC, HITE, PSO, and SHEL due to the co-movements among the mentioned firms. The Augmented Dickey-Fuller Test is run on the return series and the test is insignificant in all series which is indicating that our return series are stationary at level, ARCH-LM test is run on return series and ARCH-LM test is also insignificant in all the return series means that there is no heteroskedasticity present in the return series.