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- Title
ASYMMETRIC AND VOLATILITY SPILLOVER EFFECTS BETWEEN GOLD, EXCHANGE RATE AND SECTORAL STOCK RETURNS IN PAKISTAN.
- Authors
Qureshi, Saba; Khoso, Imamuddin; Jhatial, Ashique
- Abstract
In this paper, the asymmetric and spillover effects among gold, exchange rate, and sectoral stock returns of Pakistan have been examined. Using the Threshold GARCH model, we found that the volatilities in both gold and exchange rate transmit to each sectoral stock return in the overall sample period. The variations in gold returns lead to variation in the exchange rate and contrariwise. The gold and exchange rate spillover effect on sectoral stock returns is notably higher in times of pre-Asian financial crisis than other sub-periods along with the bidirectional mechanism of volatility contagion between gold and exchange rate. Further, the asymmetric response of most sectoral returns to shocks and a switch in direction of volatilities through the postglobal crisis as compared to pre-crisis periods have also been noted. Our findings provide frail evidence on volatility spread between gold and exchange rate in the course of post-global financial crisis phase. These findings have important implications for portfolio managers and institutional investors.
- Publication
New Horizons (1992-4399), 2019, Vol 13, Issue 1, p161
- ISSN
1992-4399
- Publication type
Academic Journal