Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading Partners
This study is conducted with the aim to construct and analyze directed financial networks of Pakistan and its major trading partners. Five major export partners of Pakistan are USA, China, UK, Germany and UAE. While major import partners are USA, China, Indonesia., Saudi Arabia and UAE. Granger cau...
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| Format: | Article |
| Language: | English |
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International Research Alliance for Sustainable Development - iRASD
2022-06-01
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| Series: | iRASD Journal of Management |
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| Online Access: | https://www.journals.internationalrasd.org/index.php/jom/article/view/797 |
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| author | Ayesha Latif Nadir Khan Safiullah |
| author_facet | Ayesha Latif Nadir Khan Safiullah |
| author_sort | Ayesha Latif |
| collection | DOAJ |
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This study is conducted with the aim to construct and analyze directed financial networks of Pakistan and its major trading partners. Five major export partners of Pakistan are USA, China, UK, Germany and UAE. While major import partners are USA, China, Indonesia., Saudi Arabia and UAE. Granger causality test was conducted using the stock returns from each stock exchange. The test was used to detect whether a change in the prices one stock exchange cause a change the prices of others. The results reveal that none of the exporting or importing country’s stock exchange cause any change in the Pakistan stock exchange neither does PSX cause any change in other stock exchanges. However, some countries like Shanghai and New York, Shanghai and Frankfurt show a unidirectional causality.
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| format | Article |
| id | doaj-art-c707cdc0b4fb4b72a634a031e061186f |
| institution | Kabale University |
| issn | 2709-8443 2709-8451 |
| language | English |
| publishDate | 2022-06-01 |
| publisher | International Research Alliance for Sustainable Development - iRASD |
| record_format | Article |
| series | iRASD Journal of Management |
| spelling | doaj-art-c707cdc0b4fb4b72a634a031e061186f2024-11-26T13:21:20ZengInternational Research Alliance for Sustainable Development - iRASDiRASD Journal of Management2709-84432709-84512022-06-014210.52131/jom.2022.0402.0078Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading PartnersAyesha Latif0Nadir Khan1Safiullah2University of Balochistan, Pakistan.University of Balochistan, Pakistan.University of Balochistan, Pakistan. This study is conducted with the aim to construct and analyze directed financial networks of Pakistan and its major trading partners. Five major export partners of Pakistan are USA, China, UK, Germany and UAE. While major import partners are USA, China, Indonesia., Saudi Arabia and UAE. Granger causality test was conducted using the stock returns from each stock exchange. The test was used to detect whether a change in the prices one stock exchange cause a change the prices of others. The results reveal that none of the exporting or importing country’s stock exchange cause any change in the Pakistan stock exchange neither does PSX cause any change in other stock exchanges. However, some countries like Shanghai and New York, Shanghai and Frankfurt show a unidirectional causality. https://www.journals.internationalrasd.org/index.php/jom/article/view/797Directed NetworksGranger CausalityStock MarketsPakistan Stock Exchange(PSX). |
| spellingShingle | Ayesha Latif Nadir Khan Safiullah Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading Partners iRASD Journal of Management Directed Networks Granger Causality Stock Markets Pakistan Stock Exchange(PSX). |
| title | Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading Partners |
| title_full | Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading Partners |
| title_fullStr | Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading Partners |
| title_full_unstemmed | Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading Partners |
| title_short | Directed Financial Networks using Granger Causality: A Study on Stock Markets of Pakistan and its Major Trading Partners |
| title_sort | directed financial networks using granger causality a study on stock markets of pakistan and its major trading partners |
| topic | Directed Networks Granger Causality Stock Markets Pakistan Stock Exchange(PSX). |
| url | https://www.journals.internationalrasd.org/index.php/jom/article/view/797 |
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