Assessment of return and volatility spillover across sectors' indices: evidence from Pakistan stock exchange
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- Pirgaip, Burak & Ertuğrul, Hasan Murat & Ulussever, Talat, 2021. "Is portfolio diversification possible in integrated markets? Evidence from South Eastern Europe," Research in International Business and Finance, Elsevier, vol. 56(C).
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- Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
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Keywords
return; volatility spillover; PSX; Pakistan Stock Exchange; GARCH(1; 1); sectors' indices; portfolio diversification; investment.;All these keywords.
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