Is Pakistani Equity Market Integrated to the Equity Markets of Group of Eight (G8) Countries? An Empirical Analysis of Karachi Stock Exchange
نویسندگان
چکیده
This study looks at the dynamic relationship between the Pakistani equity market and equity markets of Group of Eight countries (G8) which includes Canada, France, Germany, Italy, Japan, Russia, UK and USA by using weekly time series data starting from June 2004 to May 2009. Multivariate Co-integration approach by Johnson and Julius (1990) shows there exists no long-term relationship between the G8 and Pakistani equity market. Vector error correction (VECM) model suggests that 100% of the lag periods disequilibrium has been corrected in the current period. Pairwise Granger Causality test shows that there exist a unidirectional causality between the equity market of Pakistan and the
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