Degree
Master of Science in Economics
Faculty / School
Faculty of Business Administration (FBA)
Department
Department of Economics
Date of Submission
2016-01-01
Supervisor
Dr. Mohammad Nishat, Institute of Business Administration, Karachi
Project Type
MSECO Research Project
Access Type
Restricted Access
Abstract
The objective of this paper is to examine the short and long run relationships of Stock return volatility among three stock markets (i.e. Karachi Stock exchange, Standard and Poor’s 500 USA and Shanghai Stock Exchange) for the period Jan-2002 to Dec-2015. Tri-variate BEKK GARCH mode has been used to analyzed volatility spillover. The BEKK-GARCH specification shows that the conditional variance is significantly influenced by past socks. Further, results showed that the own past volatility effects are significant in all periods. However, the KSE has smallest own past volatility effect with comparison of S&P and SSE in all periods.
Pages
ix, 21
Recommended Citation
Ali, I. (2016). Return and volatility spillover linkages between stock markets of Pakistan, USA and China “analysis tri-variate BEKK-GARCH” (Unpublished graduate research project). Institute of Business Administration, Pakistan. Retrieved from https://ir.iba.edu.pk/research-projects-mseco/8
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