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How to Cite

Dependence among Energy and Asian Emerging Stocks: A Dynamic Conditional Correlation Approach

Abstract

This paper is an endeavor to investigate the contagion effect between energy market and Asian Emerging Equity Markets (AEEMs) during the Eurozone debt crisis. Multivariate GARCH-DCC model is applied on data series from 30-01-2005 to 31-01-2012. The results affirm a significant increase in dependence between energy market and equity markets at the time of Eurozone crisis as compared to pre-crisis time, therefore supporting the presence of contagion in the sense of Forbes and Rigobon's (2002). The study implies that investors should include other commodities as well in order to hedge the equity portfolio risk at the time of crisis.

Authors

  • Nazakat Hussain
  • PhD. Scholar, Department of Business Administration, Iqra University Islamabad, Pakistan
  • Muhammad Mudassar Anwar
  • Assistant Professor, Department of Commerce, University of Kotli Azad Jammu and Kashmir, Kotli, Azad Kashmir, Pakistan
  • Zafar Iqbal
  • Assistant Professor, MUST Business School, Mirpur University of Science and Technology (MUST), 10250 Mirpur Azad Kashmir, Pakistan

Keywords

AEEMs Stock Markets, Contagion, DCC GARCH Model, Energy Market, Eurozone Crisis

DOI Number

10.35484/pssr.2020(4-II)66

DOI Link

http://doi.org/10.35484/pssr.2020(4-II)66

Page Nos

813-827

Volume & Issue

v4-2

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Creative Commons License
Pakistan Social Sciences Review (PSSR) by RESEARCH OF SOCIAL SCIENCES (SMC-PRIVATE) LIMITED(ROSS) is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Based on a work at https://pssr.org.pk/

Pakistan Social Sciences Review (PSSR), Developed by M. Yaseen

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