Volatility spillover between stock market and currency market of Pakistan in the presence of structural breaks

Authors

Muhammad Jamil, Ghulam Ishaq Khan Memorial Chair (SBP), Kashmir Institute of Economics, The University of Azad Jammu & Kashmir, Muzaffarabad, PakistanFollow
Hifsa Mobeen, Pakistan Institute of Development Economics, IslamabadFollow

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