{"title":"巴基斯坦原油价格冲击与工业回报:基于GARCH的动态模型检验","authors":"Hassan Javed, Uzma Bashir, Shoaib Hassan","doi":"10.33897/fujbe.v8i1.706","DOIUrl":null,"url":null,"abstract":"This paper attempts to examine the link between crude oil prices and industrial returns in Pakistan using daily data for the period of June-2008 to Jan-2021. Mean and volatility spillover is examined by using ARMA (1,1) GARCH (1,1)-M model. In addition, the timevarying nature of conditional correlation is determined by using DCC-GARCH models. Further, study has also investigated the impact of Covid-19 on the relationship between COP and INDR. Findings of the study provide strong evidence of volatility spillover from crude oil prices to Automobile Assemblers, Oil & Gas, Power Generation & Distribution and Refinery but only scarce evidence is found regarding mean spillover. DCC-GARCH model reveals the time-varying nature of conditional correlation between crude oil prices and all other industries. Moreover, the results also provide some evidence about asymmetric behavior in correlation among crude oil prices to Cement and Refinery.","PeriodicalId":162952,"journal":{"name":"Foundation University Journal of Business & Economics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Crude Oil Price Shocks and Industrial Returns in Pakistan: An Examination through GARCH Based Dynamic Models\",\"authors\":\"Hassan Javed, Uzma Bashir, Shoaib Hassan\",\"doi\":\"10.33897/fujbe.v8i1.706\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper attempts to examine the link between crude oil prices and industrial returns in Pakistan using daily data for the period of June-2008 to Jan-2021. Mean and volatility spillover is examined by using ARMA (1,1) GARCH (1,1)-M model. In addition, the timevarying nature of conditional correlation is determined by using DCC-GARCH models. Further, study has also investigated the impact of Covid-19 on the relationship between COP and INDR. Findings of the study provide strong evidence of volatility spillover from crude oil prices to Automobile Assemblers, Oil & Gas, Power Generation & Distribution and Refinery but only scarce evidence is found regarding mean spillover. DCC-GARCH model reveals the time-varying nature of conditional correlation between crude oil prices and all other industries. Moreover, the results also provide some evidence about asymmetric behavior in correlation among crude oil prices to Cement and Refinery.\",\"PeriodicalId\":162952,\"journal\":{\"name\":\"Foundation University Journal of Business & Economics\",\"volume\":\"17 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-02-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Foundation University Journal of Business & Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.33897/fujbe.v8i1.706\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Foundation University Journal of Business & Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.33897/fujbe.v8i1.706","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Crude Oil Price Shocks and Industrial Returns in Pakistan: An Examination through GARCH Based Dynamic Models
This paper attempts to examine the link between crude oil prices and industrial returns in Pakistan using daily data for the period of June-2008 to Jan-2021. Mean and volatility spillover is examined by using ARMA (1,1) GARCH (1,1)-M model. In addition, the timevarying nature of conditional correlation is determined by using DCC-GARCH models. Further, study has also investigated the impact of Covid-19 on the relationship between COP and INDR. Findings of the study provide strong evidence of volatility spillover from crude oil prices to Automobile Assemblers, Oil & Gas, Power Generation & Distribution and Refinery but only scarce evidence is found regarding mean spillover. DCC-GARCH model reveals the time-varying nature of conditional correlation between crude oil prices and all other industries. Moreover, the results also provide some evidence about asymmetric behavior in correlation among crude oil prices to Cement and Refinery.
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