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DYNAMIC CONNECTEDNESS AMONG BOND MARKETS OF PAKISTAN AND ITS MAJOR TRADING PARTNERS |
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| รหัสดีโอไอ | |
| Creator | Muhammad Akram, Imran Riaz Malik |
| Title | DYNAMIC CONNECTEDNESS AMONG BOND MARKETS OF PAKISTAN AND ITS MAJOR TRADING PARTNERS |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2563 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 11 |
| Journal No. | 12 |
| Page no. | 11A12F: 1-13 |
| Keyword | Financial connectedness, Return & volatility spillover, Bond market, Net spillover index, Forecast error variance, Shock spillover, Directional spillover index, Pakistan's trading partners. |
| URL Website | http://TuEngr.com/Vol11_12.html |
| Website title | ITJEMAST V11A(12) 2020 @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | This study investigates the intensity and direction of return and volatility spillovers of Pakistan and its major trading partner's bond markets. This study employs the most recent Diebold and Yilmaz (2009, 2012) approach and consequently, calculates the total spillover, directional spillover, and net spillover indexes. For this purpose, daily data set spanning 5/4/2011-7/30/2019 have been used. To capture the secular and cyclical movements in trading partner's bond markets, this study carries out the rolling window analysis. The study finds evidence of dynamic connectedness among the bond markets of major trading partners on the base of spillovers indexes. In addition, the USA, EU, Singapore, and Malaysia are the main sources and originators of shocks spillover, and Pakistan, India, and Japan are the net shock receiver in this group, while China seems isolated to be market. The rolling window analyses conclude that relevant plots of returns and volatility spillovers intensify during the phases of financial or economic anxiety. These results have practical implications for researchers, practitioners, policymakers, and investors. |
