Mean and Variance Volatility Spillover from Commodity Market to Stock Market of Pakistan, China and India

Muhammad Adil; Anum Shafique; Dr. Bushra Zulfiqar; Mehmood ul Hassan

Muhammad Adil University Institute of Management Sciences, Arid University
Anum Shafique Lecturer, University Institute of Management Sciences, Arid University Rawalpindi
Dr. Bushra Zulfiqar Assistant Professor, Arid Agriculture University Rawalpindi
Mehmood ul Hassan Lecturer, Business Department AIOU

Keywords: Crude Oil, Gold Market, Stock Prices, GARCH, ARCH

Abstract

The focus of this study is to understand the volatility and its spillover from Crude Oil and Gold Market to the
stock markets of the countries selected. This is a univariate analysis where only one direction of volatility spillover
has been examined. GJR GARCH Model has been used for the purpose of analysis. The findings of the study
reveal that ARCH effect exists in the Oil and Gold Market but not in the Stock Markets Selected. Further, Mean
Volatility do not exist but Variance equation shows volatility. And, no evidence of spillover was found in these
stock markets.