Exploring intra-firm Comovement in Energy Sector in PAKISTAN: case of Karachi Stock Exchange
Abstract:
In this study intra-firms mean and volatility spill over effect is analysed. In this study information transmission mechanism is traced, two way mean spill-over effect is found in all cases while there are mixed results of volatility spill-over effect, between distinct firms of energy sector at Karachi Stock Exchange (KSE), the findings are worth noting for portfolio managers and market players. In PAKISTAN, KSE is the prominent equity market. Energy sector comprises three subsectors namely Power, Petroleum and Gas, it is among the most influential sectors in Pakistan, and has direct impact on economic growth; the sector attracts not only the local equity market players but foreign investors. Daily share price indices of nine distinct individual firms from above cited sub sectors are analysed. Two steps Autoregressive Conditionally Hetroscedastic (ARCH) type models (Hamao, et al 1990) are employed to explore comovement among the individual firms through unpredictable parts of first two conditional moments.