Matches in SemOpenAlex for { <https://semopenalex.org/work/W2736296420> ?p ?o ?g. }
- W2736296420 endingPage "1750007" @default.
- W2736296420 startingPage "1750007" @default.
- W2736296420 abstract "This paper aims to investigate the return and volatility spillover between world oil prices and the sectoral stock of Pakistan. We estimate a bivariate VAR(1)-AGARCH (1,1) model using weekly data sampled from January 1, 2001 to December 31, 2015. The model results are used to estimate the optimal portfolio weights and hedge ratios. The empirical findings suggest no short-run price transmission between world oil prices and stock sectors of Pakistan Stock Exchange. Only the past unexpected shocks in world oil prices has significant effect on the volatility of sectoral stock returns of Pakistan Stock Exchange, and no volatility spillover exist between world oil price and stock sectors. The optimal portfolio weights and hedge ratios for oil/stock holdings are sensitive to sectors considered. These findings are of great interest for policy makers, hedge fund managers, [Formula: see text] investors and market participants." @default.
- W2736296420 created "2017-07-21" @default.
- W2736296420 creator A5037147818 @default.
- W2736296420 creator A5068897198 @default.
- W2736296420 date "2017-06-01" @default.
- W2736296420 modified "2023-10-16" @default.
- W2736296420 title "RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE" @default.
- W2736296420 cites W1973179437 @default.
- W2736296420 cites W1975025227 @default.
- W2736296420 cites W1977480757 @default.
- W2736296420 cites W1979575715 @default.
- W2736296420 cites W1987006622 @default.
- W2736296420 cites W1990998958 @default.
- W2736296420 cites W1991825281 @default.
- W2736296420 cites W1992783043 @default.
- W2736296420 cites W1996159958 @default.
- W2736296420 cites W1999996900 @default.
- W2736296420 cites W2003120458 @default.
- W2736296420 cites W2017156294 @default.
- W2736296420 cites W2025754441 @default.
- W2736296420 cites W2028726096 @default.
- W2736296420 cites W2029337176 @default.
- W2736296420 cites W2032611726 @default.
- W2736296420 cites W2034967606 @default.
- W2736296420 cites W2038945349 @default.
- W2736296420 cites W2043276687 @default.
- W2736296420 cites W2045564168 @default.
- W2736296420 cites W2048373198 @default.
- W2736296420 cites W2061160212 @default.
- W2736296420 cites W2062776468 @default.
- W2736296420 cites W2063593194 @default.
- W2736296420 cites W2066017952 @default.
- W2736296420 cites W2066021447 @default.
- W2736296420 cites W2066390116 @default.
- W2736296420 cites W2066580768 @default.
- W2736296420 cites W2067622202 @default.
- W2736296420 cites W2074988857 @default.
- W2736296420 cites W2078597647 @default.
- W2736296420 cites W2098027073 @default.
- W2736296420 cites W2103315488 @default.
- W2736296420 cites W2109204066 @default.
- W2736296420 cites W2132417154 @default.
- W2736296420 cites W2143053136 @default.
- W2736296420 cites W2154084173 @default.
- W2736296420 cites W2157643135 @default.
- W2736296420 cites W2315764572 @default.
- W2736296420 cites W2905056057 @default.
- W2736296420 cites W3123974798 @default.
- W2736296420 cites W3124242984 @default.
- W2736296420 cites W372903089 @default.
- W2736296420 doi "https://doi.org/10.1142/s2010495217500075" @default.
- W2736296420 hasPublicationYear "2017" @default.
- W2736296420 type Work @default.
- W2736296420 sameAs 2736296420 @default.
- W2736296420 citedByCount "8" @default.
- W2736296420 countsByYear W27362964202020 @default.
- W2736296420 countsByYear W27362964202021 @default.
- W2736296420 countsByYear W27362964202022 @default.
- W2736296420 crossrefType "journal-article" @default.
- W2736296420 hasAuthorship W2736296420A5037147818 @default.
- W2736296420 hasAuthorship W2736296420A5068897198 @default.
- W2736296420 hasConcept C10138342 @default.
- W2736296420 hasConcept C105795698 @default.
- W2736296420 hasConcept C106159729 @default.
- W2736296420 hasConcept C127413603 @default.
- W2736296420 hasConcept C139719470 @default.
- W2736296420 hasConcept C149782125 @default.
- W2736296420 hasConcept C151730666 @default.
- W2736296420 hasConcept C162324750 @default.
- W2736296420 hasConcept C200870193 @default.
- W2736296420 hasConcept C204036174 @default.
- W2736296420 hasConcept C2780299701 @default.
- W2736296420 hasConcept C2780762169 @default.
- W2736296420 hasConcept C2780821815 @default.
- W2736296420 hasConcept C2984556133 @default.
- W2736296420 hasConcept C33923547 @default.
- W2736296420 hasConcept C47143671 @default.
- W2736296420 hasConcept C55527203 @default.
- W2736296420 hasConcept C556758197 @default.
- W2736296420 hasConcept C64341305 @default.
- W2736296420 hasConcept C78519656 @default.
- W2736296420 hasConcept C86803240 @default.
- W2736296420 hasConcept C91602232 @default.
- W2736296420 hasConceptScore W2736296420C10138342 @default.
- W2736296420 hasConceptScore W2736296420C105795698 @default.
- W2736296420 hasConceptScore W2736296420C106159729 @default.
- W2736296420 hasConceptScore W2736296420C127413603 @default.
- W2736296420 hasConceptScore W2736296420C139719470 @default.
- W2736296420 hasConceptScore W2736296420C149782125 @default.
- W2736296420 hasConceptScore W2736296420C151730666 @default.
- W2736296420 hasConceptScore W2736296420C162324750 @default.
- W2736296420 hasConceptScore W2736296420C200870193 @default.
- W2736296420 hasConceptScore W2736296420C204036174 @default.
- W2736296420 hasConceptScore W2736296420C2780299701 @default.
- W2736296420 hasConceptScore W2736296420C2780762169 @default.
- W2736296420 hasConceptScore W2736296420C2780821815 @default.
- W2736296420 hasConceptScore W2736296420C2984556133 @default.
- W2736296420 hasConceptScore W2736296420C33923547 @default.