Title: Volatility contagion (spillover) between Chinese and Pakistani stock markets during COVID-19: pre and post analysis of trade-level data

Authors: Syed Faisal Hasan Bukhari; Habib Ahmad; Hasan Hanif; Syed Farhan Shah

Addresses: Department of Graduate Studies, Air University School of Management, Islamabad, 44000, Pakistan ' Department of Management Studies, Air University School of Management, Islamabad, 44000, Pakistan ' Department of Management Studies, Air University School of Management, Islamabad, 44000, Pakistan ' Department of Management Studies, Quaid e Azam University, Islamabad, 15320, Pakistan

Abstract: This research study examines volatility contagion (spillover) before and during the COVID period from the Chinese stock market (Shanghai stock market) to the Pakistani stock market (Karachi stock market). We used aggregate market datasets and various industry datasets (11 industries according to GICS classification), employed the EGARCH model to investigate the volatility spillover. Our results indicate that volatility demonstrates different characteristics in aggregate data samples as compared to industrial data samples. Moreover, this study finds return spillover and volatility spillover in both datasets (aggregate and industries). This study suggests that stakeholders should analyse both datasets (aggregate and industry) before taking investment decisions.

Keywords: volatility spillover; COVID-19; pandemic; contagious; portfolio diversification; financial crisis; interdependence.

DOI: 10.1504/IJMEF.2022.127157

International Journal of Monetary Economics and Finance, 2022 Vol.15 No.4, pp.309 - 330

Received: 08 Jun 2021
Accepted: 08 Dec 2021
Published online: 23 Nov 2022 *

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