Abstract
The purpose of this study is to investigate the long- and short-run comovement
of stock market returns of Pakistan with developed and emerging Asian
countries over the period 1995-2014 using ARDL cointegration approach and
rolling window correlation. We find long- term and short- run cointegration
relationships of Pakistan’s stock market returns with developed and emerging
Asian countries but for most of the cases in bivariate analysis we find the impact
of developed and emerging Asian equity markets on Pakistan but not in opposite
direction. Further, we come across with low values of time varying correlation,
indicating that Pakistan may be the attractive avenue for international investors
for greater diversification benefits. We also observe that comovement of stock
market return is a time variant phenomenon and find greater comovement in the
periods of financial crises relative to tranquil periods due to contagion or
spillover of asset prices.
Atif Hussian, Dr. Tahir Saeed. (2017) Comovement of Stock Market Returns Between Pakistan and Asian Countries from Long- and Short-Run Perspectives, Abasyn Journal of Social Sciences, Volume-10, Issue-1.
-
Views
938 -
Downloads
49
