All Theses and Dissertations
Stock market integration in South Asia: a multivariate GARCH with dynamic conditional correlations approach
Master of Science in Economics
Faculty / School
Faculty of Business Administration (FBA)
Department of Economics
Date of Award
Dr. Wali Ullah
Committee Member 1
Dr. Wali Ullah, Institute of Business Administration, Karachi
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.
Link to Catalog Record
Khan, S. M. (2018). Stock market integration in South Asia: a multivariate GARCH with dynamic conditional correlations approach (Unpublished master's thesis). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/etd/30
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