文章基本信息

标题：Is Pakistani Equity Market Integrated to the Equity Markets of Group of Eight (G8) Countries? An Empirical Analysis of Karachi Stock Exchange
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作者：Shah, Syed Muhammad Aamir ; Husnain, Muhammad ; Ali, Ashraf 等
期刊名称：The Romanian Economic Journal
印刷版ISSN：1454-4296
出版年度：2012
期号：45
出版社：Editura ASE
摘要：This study looks at the dynamic relationship between the Pakistani equity market and equity markets of Group of Eight countries (G8)which includes Canada,France, Germany, Italy, Japan, Russia, UK and USA by using weekly time series data starting from June 2004 to May 2009. Multivariate Co-integration approach by Johnson and Julius (1990) shows there exists no long-term relationship between the G8 and Pakistani equity market. Vector error correction(VECM) model suggests that 100% of the lag periods disequilibrium has been corrected in the current period. Pairwise Granger Causality test shows that there exist a unidirectional causality between the equity market of Pakistan and the markets of France,Germany, Italy, Japan and United Kingdom. Impulse response analysis and variance decomposition analysis reveal that most of the shocks in Pakistani equity market are due to its own innovation and behave like exogenous. However, the markets of France, Japan, Germany and United Kingdom are exerting a little pressure on Pakistani equity markets. Therefore, by investing in Karachi Stock Exchange (KSE) the fund manager of G8 countries especially Canada, Italy, Russia and USA is capable of getting the advantage of portfolio diversification.
关键词：stock markets; Pakistani stock market; cointe gration; portfolio diversification.