Tracing Return and Volatility Spillover Effect between Exchange Rate and Pakistan Stock Exchange Index | Zendy

Kashif Habeeb | Zendy; Ghulam Ghouse | Zendy; Asad Ali Ashraf | Zendy

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Tracing Return and Volatility Spillover Effect between Exchange Rate and Pakistan Stock Exchange Index

Author(s) -

Kashif Habeeb,

Ghulam Ghouse,

Asad Ali Ashraf

Publication year - 2021

Publication title -

journal of quantitative methods

Language(s) - English

Resource type - Journals

eISSN - 2522-2260

pISSN - 2522-2252

DOI - 10.29145/2021/jqm/050108

Subject(s) - spillover effect , autoregressive conditional heteroskedasticity , exchange rate , stock exchange , economics , index (typography) , volatility (finance) , stock market index , financial economics , stock (firearms) , monetary economics , stock market , econometrics , macroeconomics , finance , geography , world wide web , computer science , context (archaeology) , archaeology

The volatility spillover is broadly measured as the transmission of variability from one financial market to other markets. This study explores the spillover effect between the newly emerged index of the Pakistan stock exchange (PSX) and exchange rate by using the newly proposed alternative methodology by Ghouse et al. (2019) and GARCH model. Furthermore, the index under study is more concise in its composition than other readily used indices. The study finds shreds of evidence for the bidirectional spillover effect between PSX and exchange rate, which will be helpful for central policy makers and markets players in designing effective policy frameworks. Keywords: ARDL; GARCH; spillover effect

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