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Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Faculty of Management Studies, International Islamic University, Islamabad44000, Pakistan
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J. Risk Financial Manag. 2018, 11(3), 32; https://doi.org/10.3390/jrfm11030032
Received: 29 May 2018 / Revised: 7 June 2018 / Accepted: 8 June 2018 / Published: 21 June 2018
(This article belongs to the Special Issue Stock Market Volatility Modelling and Forecasting)
This study analyzes the determinants of stock market co-movement between Pakistan and Asian emerging economies for the period 2001 to 2015. Augmented Dickey and Fuller (ADF) and Philips-Perron (PP) tests are applied to check co-integration between their stock markets. Results of this study reveal that there is long-term integration between the stock market of Pakistan and the stock markets of China, India, Indonesia, Korea, Malaysia and Thailand. This study reports the driving forces of the co-movement between the Pakistan and Asian emerging markets where co-integration is found. Results of the panel data reveal that there are significant underlying forces of integration between Pakistan and each Asian emerging stock market. The findings of this study have significant implications for policy makers in Pakistan who are designing strategies for macroeconomic harmonization and stability of the country’s economy against financial shocks. View Full-Text
Keywords: stock market co-movement; portfolio diversification; economic integration; financial crisis stock market co-movement; portfolio diversification; economic integration; financial crisis
MDPI and ACS Style

Aamir, M.; Ali Shah, S.Z. Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies. J. Risk Financial Manag. 2018, 11, 32.

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