DYNAMIC LINKS BETWEEN COMMODITY MARKETS & PAKISTANI SECTORAL INDICES: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION

Authors

  • Ifrah Younas PhD Scholar, Department of Public Administration, Gomal University, Dera Ismail Khan, Pakistan
  • Irfan Ullah Khan Assistant Professor, Department of Public Administration, Gomal University, Dera Ismail Khan
  • Maqsood-Ur-Rehman PhD Scholar, Department of Public Administration, Gomal University, Dera Ismail Khan, Pakistan

DOI:

https://doi.org/10.53664/JSSD/03-03-2024-11-128-141

Abstract

This research aimed to examine the inter-connections among international commodities markets and sectoral indices of Pakistan over the most recent period ranging from July 19, 2016, to December 29, 2023. This time period is selected based on recent important events of global significance including COVID-19 pandemics and recent geopolitical crisis emerged due to Russia-Ukraine war in Feb, 2022. This study is utilizing Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model for the deeper inquiry of interplay among the variables. The findings of the study indicate significant spillovers among variables with varying degrees of significance. The results show that various sectors of Pakistan economy showed asymmetric behavior indicating that some sectors were the risk transmitters while other were risk recipients. Moreover, volatility linkages are time-varying with heightened transmissions during turbulent periods. The results provide the significant information in reaching the desired conclusion and making decisions. The findings of study thus had important implications for investors (individual & institutional), fund managers and policy makers while devising strategies for diversification and risk mitigation in the Pakistani context especially in stressful periods.

Details

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Published

27-09-2024

How to Cite

Ifrah Younas, Irfan Ullah Khan, & Maqsood-Ur-Rehman. (2024). DYNAMIC LINKS BETWEEN COMMODITY MARKETS & PAKISTANI SECTORAL INDICES: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION. JOURNAL OF SOCIAL SCIENCES DEVELOPMENT, 3(3), 128–141. https://doi.org/10.53664/JSSD/03-03-2024-11-128-141

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Articles