IS THERE ANY CO-MOVEMENT BETWEEN KARACHI STOCK EXCHANGE, SOUTH ASIAN AND MIDDLE EAST EQUITY MARKETS?

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IJAZ AHMAD
HASSAN KHAN

Abstract

This study was carried out to analyze long run and lead lag relationship of Karachi Stock Exchange with Bombay, Colombo, Istanbul, Kuwait and Muscat stock markets. Johansen co-integration and Granger Causality test were applied on monthly data for the period from January 2001to December 2016. The results revealed that there is only one co-integration equation among the under study variables which indicates potential for diversification benefits to international investors. ECM indicated the short run relationship of BSE and KWSE with KSE.  As the stock prices of Pakistan equity market move together with the stock prices of India, Kuwait and Turkey so there is no chance of risk minimization for investors through international portfolio in these countries.

Keywords:
Stock exchange, equity markets, co-integration equation

Article Details

How to Cite
AHMAD, I., & KHAN, H. (2019). IS THERE ANY CO-MOVEMENT BETWEEN KARACHI STOCK EXCHANGE, SOUTH ASIAN AND MIDDLE EAST EQUITY MARKETS?. Asian Journal of Arts, Humanities and Social Studies, 2(1), 22-30. Retrieved from http://www.ikprress.org/index.php/AJAHSS/article/view/4711
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Original Research Article