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Integration of Pakistan's stock market with the stock markets of top ten developed economiesopen access

Authors
Lee, SeunghyupChung, Chune YoungUllah, Farid
Issue Date
Mar-2024
Publisher
Elsevier Ltd
Keywords
Co-integration; Co-movement and relationship; Equity markets; Stock markets
Citation
Heliyon, v.10, no.5
Journal Title
Heliyon
Volume
10
Number
5
URI
https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/73017
DOI
10.1016/j.heliyon.2024.e26542
ISSN
2405-8440
2405-8440
Abstract
This study examines the integration of Pakistan's Stock Market with the stock markets of the top ten largest economies in the world—USA, China, Japan, Germany, the UK, India, France, Italy, Brazil, and Canada—from January 2015 to October 2020. To examine long- and short run integration, this study employed Johansen and Juselius co-integration and pair-wise Granger causality tests. In the long run, the results indicated that Pakistan's Stock Market is not integrated with these markets. This implies that the market is more attractive in portfolio diversification for international investors, and vice versa. In the short run, the results revealed that, except for China, Pakistan's stock market integrates with the remaining nine markets. However, Pakistan's stock market exhibits a bidirectional relationship with the USA, Japan, Germany, the UK, and France in the lead-lag relationship. However, its relationship with India, Italy, Brazil, and Canada is unidirectional, with Pakistan's stock market leading, while these markets are following. For Pakistani investors, China is the optimal market, and vice versa. Importantly, our findings help policymakers to comprehend Pakistan's dynamic relationship with its trading partners. To the best of our knowledge, no prior study has employed advanced techniques to address the time-varying correlation among the selected markets. By determining Pakistan's stock market integration with its trading partners, this study aimed to fill this empirical literature gap. © 2024 The Authors
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경영경제대학 (경영학부(서울))
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