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Dynamic connectedness among Pakistani stock markets and its major trading partners

Muhammad Akram (Department of Management Sciences, Iqra University - Islamabad Campus, Islamabad, Pakistan)
Ahmed Imran Hunjra (Rabat Business School, International University of Rabat, Rabat, Morocco)
Imran Riaz Malik (Department of Management Sciences, Faculty of Management and Social Sciences, Capital University of Science and Technology, Islamabad, Pakistan)
Mamdouh Abdulaziz Saleh Al-Faryan (Faculty of Business and Law, School of Accounting, Economics and Finance, University of Portsmouth, Portsmouth, UK) (Department of Economics and Finance, Riyadh, Saudi Arabia)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 3 March 2023




Internationalization and financial deregulation have caused market participants and policymakers to consider the significance of financial connectedness and the spillover effects of shocks. In this context, this research is a pioneering effort to investigate the direction and magnitude of return volatility spillovers between Pakistan’s financial markets and those of its key trade partners. This paper examines the relationship between return and volatility spillover in the financial markets of Pakistan and its major trading partners.


Ten countries are selected for empirical examination of dynamic connectedness among Pakistan and its major trading partner’s stock markets. This study utilizes a spillover index approach model and considers daily, weekly and monthly datasets spanning 25 years from 1995 to 2019.


The results indicate that stock markets provide efficient channels for return and volatility spillovers. Moreover, it is found that the intensity of spillovers during the financial crisis is more intense as these crises are major determinants of contagion; consequently, investors, speculators and policymakers use these events for their respective purposes.


Researchers, practitioners, policymakers and investors may all benefit from the findings in areas including risk management, portfolio diversification and trading methods.



Akram, M., Hunjra, A.I., Malik, I.R. and Al-Faryan, M.A.S. (2023), "Dynamic connectedness among Pakistani stock markets and its major trading partners", International Journal of Emerging Markets, Vol. ahead-of-print No. ahead-of-print.



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