The integration of the Pakistani equity market with international equity markets: an investigation

Husain, Fazal; Saidi, Reza F.

doi:10.1002/(sici)1099-1328(200003)12:2<207::aid-jid636>3.0.co;2-z

Cited by 9 publications

(10 citation statements)

References 9 publications

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“…Pakistan market was not integrated with other markets, but there were some evidence for long-term linkages between Pakistan, US, UK and Japan markets. There was no long-run association between Pakistan and other markets (Husain & Saidi, 2000). The performance in US (New York) market strongly influenced Japanese market performance, but the reverse was not true before and after October 1987 crisis (Becker, Finnerty, & Gupta, 1989).…”

Section: Literature Reviewmentioning

confidence: 97%

Co-integration Between Sensex and Other Popular Indices: A Decadal Study

Bhatia

Ramasubramanian

2019

FIIB Business Review

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We examine the inter-relationship between India, the USA, Japan, China, France, Dubai and Germany using multivariate co-integration techniques. The study has investigated co-movements between these world indices from 2009 to 2018. During this period, it was found using Johansen co-integration that these indices were co-integrated in the long run. However, in the vector error correction model, long-run causality could not be found. Thereafter with Wald-χ2 diagnostics, it was found that short-run linkages existed among Indian and rest of the world markets in the study. Therefore, the seven indices may be concluded to have causal relationship in the short run and co-integrating association in the long run.

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Section: Literature Reviewmentioning

confidence: 97%

Co-integration Between Sensex and Other Popular Indices: A Decadal Study

Bhatia

Ramasubramanian

2019

FIIB Business Review

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“…The study of Jochum, Kirchgässner, and Platek (1999) said that while Eastern European stock exchanges displayed cointegration effect before 1997 crisis, this effect weakened after the crisis. Hussain and Saidi (2000), using the data from 1988---1993 and the Engle---Granger method, have established a long---lasting relationship between the Pakistan stock market and American, British and Japanese stock exchanges. Scheicher (2001) examined the spillover effect among Hungary, Poland and the Czech Republic with the VAR---GARCH model and determined a significant spillover effect in terms of return and volatility between Hungary and Poland.…”

Section: Literature Reviewmentioning

confidence: 99%

The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse

Kayhan¹,

Arslan²

2018

TR1001

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Lehman Brothers slump was taken as base point and changes in pricing mechanisms of BIST100, MSCI EM and Dow Jones were tried to be understood before and after crisis. While daily closed data was used, VAR, Impulse Response, Variance Decomposition and Granger Causality tests were used. According to results, Turkish markets are weaker than other developing countries and react more quickly to negative developments and Dow Jones returns have more explanatory power over BIST100 returns with respect to MSCI EM in pre---crisis period. In post---crisis period, volatility of Turkish markets decreased much more than other developing countries due to inherent growth dynamics. In addition, the influence of MSCI EM in pre---crisis period over Dow Jones is not effective, but in post---crisis period has become more effective. This can be regarded as a sign of an increase in dominance of developing countries in global economies in post---crisis period.

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“…In the context of the KSE, numerous studies have been conducted that measure its integration with other global markets. Husain and Saidi (2000) examine the integration of the Pakistani stock market with those of the US, France, the UK, Germany, Japan, Hong Kong and Singapore. Using cointegration analysis, they find that the former is not integrated with international markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

Ahmed¹,

Malik²,

Awan³

et al. 2017

LJB

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This study analyzes sectoral integration among the top ten sectors listed on the Karachi Stock Exchange (KSE), using a market value-weighted index and daily stock price data for 2001–14. Since the literature shows that domestically diversified portfolios outperform globally diversified ones, the study’s results have implications for the construction of well-diversified domestic portfolios among individual and institutional investors. We find that, apart from automobiles and cement, all other sectors listed on the KSE provide good diversification opportunities. The Granger causality test shows that cement, chemicals and banking cause most other sectors uni-directionally, while oil and gas, biotechnology and pharmaceuticals, textiles, and electricity are caused by most other sectors. From a domestic investor’s perspective, the KSE provides reasonable diversification opportunities across different sectors.

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The integration of the Pakistani equity market with international equity markets: an investigation

Cited by 9 publications

References 9 publications

Co-integration Between Sensex and Other Popular Indices: A Decadal Study

Co-integration Between Sensex and Other Popular Indices: A Decadal Study

The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse

Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

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