Connectedness between Pakistan's Stock Markets with Global Factors: An Application of Quantile VAR Network Model

被引：1
作者：
Zaidi, Syeda Beena [1 ]
Khan, Abidullah [1 ]
Khan, Shabeer [2 ]
Rehman, Mohd Ziaur [3 ]
Alonazi, Wadi B. [4 ]
Noman, Abul Ala [5 ]
机构：
[1] Sukkur IBA Univ, Dept Business Adm, Sukkur 65200, Pakistan
[2] Al Yamamah Univ, Coll Business Adm, Riyadh 11512, Saudi Arabia
[3] King Saud Univ, Coll Business Adm, Dept Finance, Riyadh 11587, Saudi Arabia
[4] King Saud Univ, Coll Business Adm, Hlth Adm Dept, Riyadh 11587, Saudi Arabia
[5] Ruhr Univ Bochum RUB, Fac Management & Econ, D-44801 Bochum, Germany
来源：
MATHEMATICS | 2023年 / 11卷 / 19期
关键词：
time series analysis; economic policy uncertainty; interdependence market structures; global factors; quantile VAR; ECONOMIC-POLICY UNCERTAINTY; IMPULSE-RESPONSE ANALYSIS; COMMODITY-MARKETS; RISK SPILLOVER; VOLATILITY; RETURNS; OIL; CONTAGION; IMPACT; ENERGY;
D O I：
10.3390/math11194177
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This study aims to provide important insights regarding the integrated structure of global factors and Pakistan's leading sector-level indices by estimating the dynamic network and pairwise connectedness of the global crude oil index, MSCI index, European economic policy uncertainty index, and important sector-level indices of Pakistan based on QVAR using daily frequency over the period of 20 years from 2002 to 2022. The findings demonstrate high interconnectedness among global factors indices and Pakistan's leading sector-level indices. The results of net directional connectivity showed that the EPEUI, WTI, and MSCI indices are the "net receivers" of volatility spillover. At the same time, the financial and energy sectors are the "net transmitter" of shocks. Connectedness is high amid financial upheavals. The research findings provide crucial insights for policymakers, businesses, portfolio managers, and investors.
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页数：17
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