International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies


:: International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies

ISSN 2228-9860
eISSN 1906-9642


Vol.11(12) (2020)


    Muhammad Akram, Imran Riaz Malik (Department of Business Administration, Iqra University Islamabad Campus, PAKISTAN).

    Disciplinary: Management and Financial Sciences.

    ➤ FullText

    DOI: 10.14456/ITJEMAST.2020.231

    Keywords: Financial connectedness; Return & volatility spillover; Bond market; Net spillover index; Forecast error variance; Shock spillover; Directional spillover index; Pakistan's trading partners.

    This study investigates the intensity and direction of return and volatility spillovers of Pakistan and its major trading partner's bond markets. This study employs the most recent Diebold and Yilmaz (2009, 2012) approach and consequently, calculates the total spillover, directional spillover, and net spillover indexes. For this purpose, daily data set spanning 5/4/2011-7/30/2019 have been used. To capture the secular and cyclical movements in trading partner's bond markets, this study carries out the rolling window analysis. The study finds evidence of dynamic connectedness among the bond markets of major trading partners on the base of spillovers indexes. In addition, the USA, EU, Singapore, and Malaysia are the main sources and originators of shocks spillover, and Pakistan, India, and Japan are the net shock receiver in this group, while China seems isolated to be market. The rolling window analyses conclude that relevant plots of returns and volatility spillovers intensify during the phases of financial or economic anxiety. These results have practical implications for researchers, practitioners, policymakers, and investors.

    Paper ID: 11A12F

    Cite this article:

    Akram, M., Malik, I.R.(2020). DYNAMIC CONNECTEDNESS AMONG BOND MARKETS OF PAKISTAN AND ITS MAJOR TRADING PARTNERS. International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 11(12), 11A12F, 1-13. DOI: 10.14456/ITJEMAST.2020.231


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