Examinando el efecto de derrame entre los índices KSE100 y S&P500
| Autor | Mudassar Hasan, Muhammad Ishfaq Ahmad, Muhammad Abubakr Naeem, Muhammad Akram Naseem, Ramiz Ur Rehman |
| Páginas | 175-195 |
ARTÍCULOS
Universidad & Empresa, Bogotá, Colombia 21(36): 175-195, enero-junio de 2019
175
Examining the Spillover
Effect between the KSE100
and the S&P500 Indexes*
Mudassar Hasan**
Muhammad Ishfaq Ahmad***
Muhammad Abubakr Naeem****
Muhammad Akram Naseem*****
Ramiz-ur-Rehman******
Fecha de recibido: 29 de enero de 2018
Fecha de aprobado: 12 de junio de 2018
To cite this article: Hassan, M., Ahmad, M. I., Abubakr, M., Naseem, M. A., & Rehman, R. (2019).
Examining the Spillover Effect between the KSE100 and the S&P500 Indexes.
Universidad & Empresa, 21(36), 175-195.
doi: http://dx.doi.org/10.12804/revistas.urosario.edu.co/empresa/a.6472
* This article has been presented in the 7th International Interdisciplinary Business Economics Advancement Conference,
on April 2017; an abstract has been published.
** Mphil. Degreefromthe Universityof Lahore, Lahore Punjab Pakistan. His research interest is investment strategies in stock
markets. Currently he isserving as Assistant Professor of Finance in the Accounting and Finance Department of Lahore
Business School at the University of Lahore, Punjab Pakistan. E-mail: Mudassar.hassan@lbs.uol.edu.p
*** Ph.D in Management Science & Engineering from the Liaoning Technical University, Fuxin, Liaoning China. He has teaching
experience of more than eight years and is currently serving as Assistant Professor of Finance in the Accounting and Finance
Department oft he Lahore Business School at the University of Lahore, Punjab, Pakistanmuhammad.ishfaq@lbs.uol.edu.pk
**** Currently pursuing his PhD in School of Economics and Finance, Massey University, Albany, New Zealand.
E-mail: M.ab.naeem@gmail.com
***** He did his PhD in the School of Management at the Xi’an Jiaotong University, China. He has served in the central bank of
Pakistan as Deputy Director, statisticsdepartment and now serving as Assistant Professor in the Lahore Business School
at the Universityof Lahore, Punjab, Pakistan. E-mail:iqra4ever@hotmail.com
***** Ph.D from the School of Management, Xi’an Jiaotong University, China. He works as Associate Professor of Finance in
Accounting and Finance Department of the Lahore Business School at the University of Lahore, Punjab, Pakistan.
E-mail: Ramiz_rehman@hotmail.com
Universidad & Empresa, Bogotá, Colombia 21(36): 175-195, enero-junio de 2019
176
Examining the Spillover Effect between the KSE100 and the S&P500 Indexes
Abstract
The volatility spillover is defined as the transmission of instability from market to market. It occurs when the
volatility price change in one market causes a lagged impact on volatility price in another market above the local
effects of market. In this study the garchmodels are used to examine the possibility of volatility transmission
between the KSE100 index (Pakistan) and S&P500 index (usa); in other words, to examine how the volatility in
one market mayinfluence the other and vice versa. The egarchmodel is also applied and it was observed that
our attempt to analyze symmetry and persistence in the KSE100 index and the S&P500 index volatility proved
that there is clear evidence that shocks to the volatitlity of the KSE100 and S&P500 indexes have asymmetric and
persistent effects. It is observed from the study that the shocks to the stock returns in one market do not transmit
to the other; in other words, it appears that there is no spillover effect between the two stock markets.
Keywords: Volatility, spillover, GARCH, EGARCH, KSE100 index, S&P500.
Examinando el efecto de derrame entre los índices KSE100 y S&P500
Resumen
El derrame volátil es definido como la inestabilidad entre mercados. Sucede cuando el precio de la volatilidad
cambia en un mercado causando un impacto rezagado en el precio de la volatilidad en otro mercado que
se encuentra por encima los efectos locales del mercado. En este estudio los modelos GARCH son utilizados
para examinar la posiblidad de transmición de volatilidad entre el índice KSE100( Pakistan) y el índice S&P500
(Estados Unidos). En otras palabras, para examinar la influencia de la volatilidad en otro y vice versa. El modelo
EGCARCH también fue aplicado y se observa nuestro intento por analizar la simetría y la persistencia de la
volatilidad en el KSE100 y el S&P500, se evidencia con claridad que choques en la volatilidad de ambos tiene un
efecto asimetrico y persistente. A partir del estudio se observó que los choques al rendimiento de las acciones
en un mercado no se transmiten al otro, en otras palabras, no hay presencia de efecto de derrame entre las dos
bolsas de Valores.
Palabras clave: volatilidad, derrame, GARCH, EGARCH, KSE 100, S&P500.
Examinando o efeito de derramamento entre o índice KSE100 e o S&P500
Resumo
O derramamento volátil é definido como a instabilidade entre mercados. Acontece quando o preço da vola-
tilidade muda em um mercado causando um impacto atrasado no preço da volatilidade em outro mercado
que se encontra por cima dos efeitos locais do mercado. Neste estudo os modelos GARCH são utilizados para
examinar a possibilidade de transmissão de volatilidade entre o índice KSE100 (Paquistão) e o índice S&P500
(Estados Unidos). Em outras palavras, para examinar a influência da volatilidade em outro e vice-versa. O modelo
EGCARCH também foi aplicado e se observa nossa tentativa por analisar a simetria e a persistência da volatili-
dade no KSE100 e o S&P500, se evidencia com claridade que choques na volatilidade de ambos os dois tem um
efeito assimétrico e persistente. A partir do estudo se observou que os choques ao rendimento das ações em um
mercado não se transmitem ao outro, em outras palavras, não há presença de efeito de derramamento entre as
duas bolsas de Valores.
Palavras-chave: volatilidade, derramamento, GARCH, EGARCH, KSE 100, S&P500.
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