2019冠状病毒病期间中国和巴基斯坦股市波动传染(溢出):贸易层面数据的前后分析

Q3 Economics, Econometrics and Finance

International Journal of Monetary Economics and Finance Pub Date : 2022-01-01 DOI:10.1504/ijmef.2022.10046828

Syed Farhan Shah, H. Hanif, H. Ahmad, Syed Faisal Hasan Bukhari

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引用次数: 1

摘要

本研究考察了疫情前和疫情期间中国股市(上海股市)对巴基斯坦股市(卡拉奇股市)的波动传染(溢出效应)。我们使用综合市场数据集和不同行业数据集(按GICS分类为11个行业)，采用EGARCH模型来研究波动溢出。我们的研究结果表明，与工业数据样本相比，总体数据样本的波动性表现出不同的特征。此外，本研究发现在两个数据集(总量和行业)中都存在回报溢出和波动溢出。这项研究表明，在做出投资决策之前，利益相关者应该同时分析两个数据集(总量和行业)。版权所有©2022 Inderscience Enterprises Ltd。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Volatility contagion (spillover) between Chinese and Pakistani stocks market during COVID-19: pre and post analysis of trade-level data

This research study examines volatility contagion (spillover) before and during the COVID period from the Chinese stock market (Shanghai stock market) to the Pakistani stock market (Karachi stock market). We used aggregate market datasets and various industry datasets (11 industries according to GICS classification), employed the EGARCH model to investigate the volatility spillover. Our results indicate that volatility demonstrates different characteristics in aggregate data samples as compared to industrial data samples. Moreover, this study finds return spillover and volatility spillover in both datasets (aggregate and industries). This study suggests that stakeholders should analyse both datasets (aggregate and industry) before taking investment decisions. Copyright © 2022 Inderscience Enterprises Ltd.

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来源期刊

International Journal of Monetary Economics and Finance Economics, Econometrics and Finance-Finance

CiteScore

1.20

自引率

0.00%

发文量

期刊介绍： International money, banking and finance have become central to understanding how modern open economies and national economic policies work and interact. IJMEF is an international, peer-reviewed journal at the forefront of economic research, fostering discussion on advances in research which have a significant, long-term impact. With articles from both economists and finance experts, IJMEF represents a focal point for understanding issues involved in economic growth, providing a truly global perspective on monetary and financial questions at national and international levels. Topics covered include: -International financial institutions- Monetary theory- Exchange rates and interest rates- Bank services and development- Central banking- International banking- Credit and financial markets- Open economy macroeconomics- Macroeconometrics- International finance- Financial markets and institutions- Corporate governance- Financial liberalisation- Financial performance- Credit channels.