All Theses and Dissertations

Degree

Master of Science in Economics

Faculty / School

Faculty of Business Administration (FBA)

Department

Department of Economics

Date of Award

Fall 2018

Advisor

Dr. Wali Ullah

Committee Member 1

Dr. Wali Ullah, Institute of Business Administration, Karachi

Project Type

Thesis

Access Type

Restricted Access

Pages

ix, 33

Abstract

The aim of the study is to investigate the relationship of stock returns and the level of integration (volatility spillover effect) of Pakistan’s stock market with other regional stock markets (Bangladesh, India and Sri Lanka) as well as global stock markets (US and China). In order to further investigate upon the research topic, the DCC-GARCH model has been positioned with daily data from stock market indices of selected countries for the period January 01, 1993 to June 30, 2017. The corresponding result of this study depicts that Pakistan’s stock returns are less volatile compared to other South Asian countries. In addition to this, the research also evidently reveals that Pakistan stock returns share same level of volatility that of US and China. The study helps us understand the possibility of shocks passing through these markets and it also aims to be helpful for the investors looking to reduce the risk by portfolio diversification.

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