Abstract
This study examines the volatility transmission between the currency market and the stock market of Pakistan in the presence of structural breaks. For this purpose, daily data from the stock market and currency market is analyzed. An empirical investigation is conducted using the bivariate EGARCH model and the test for multiple structural breaks developed by Bai and Perron (2003). This study analyses these markets with the inclusion of sudden changes. Results of the EGARCH model suggest that volatility spillover is positive and bidirectional between these markets of Pakistan.
Keywords
Volatility Spillover, Bai and Perron test, EGARCH Model
DOI
https://doi.org/10.54784/1990-6587.1377
Journal of Economic Literature Subject Codes
G10, F31
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Jamil, M., & Mobeen, H. (2021). Volatility spillover between stock market and currency market of Pakistan in the presence of structural breaks. Business Review, 16(1), 1-12. Retrieved from https://doi.org/10.54784/1990-6587.1377
Published Online
August 17, 2021
Included in
Business Administration, Management, and Operations Commons, Econometrics Commons, Finance Commons, Finance and Financial Management Commons, Management Sciences and Quantitative Methods Commons, Organizational Behavior and Theory Commons
Publication Stage
Published
Article Timeline
Submitted
19-05-2021
Published
01-01-2021
