The Asymmetric Impact of Oil Price Shocks on Sectoral Returns in Pakistan: Evidence from the Non-Linear ARDL Approach

This study explores the asymmetric impact of oil supply and demand shocks on sectoral stock market returns Pakistan. For this purpose, uses non-linear autoregressive distributed lag (ARDL) approach based monthly time series data for four sectors in Pakistan Stock Exchange over period 2005–2018. First, findings unit root tests identified that all are stationary at first difference. Second, F-bound test explored have a cointegration relationship with returns. Third, (OSS) oil-specific (OSDS) commercial banking symmetric (ODS) banking. In addition, power generation, chemical fertilizer was found. Moreover, explored. The suggests important policy implications policymakers investors.