Degree Name

Doctor of Philosophy


Faculty of Business


The primary aim of this thesis is to quantify the magnitude, direction and duration of conditional returns and volatility spillovers between the financial markets of Pakistan and those of its key trade partners. Accordingly, this thesis 1) examines the impact of the financial crisis of 2008 on all markets under consideration, 2) measures cross-market returns and volatility spillovers across groups of countries categorized according to country classification and geographical proximity to Pakistan, 3) quantifies interaction of returns and volatility between pairs of countries, and 4) evaluates whether the magnitude of spillovers differs in pre-crisis, crisis, and post-crisis periods.

This thesis contributes empirically to the finance literature in several ways. First, it provides insight into the interaction of conditional returns and volatility across developed, emerging and frontier markets. Second, it enhances our understanding of peculiar behavior of returns and volatility spillovers in frontier markets in general and of Pakistan in particular. Third, it facilitates greater understanding of interaction between Pakistan’s financial market and those of its key trade partners and markets within close geographical proximity. Lastly, the extended application of the Spillovers Index on countries classified under developed, emerging, and frontier markets, and based on geographical proximity makes a valuable contribution as it facilitates understanding of asymmetric responses of various markets to foreign events and shocks.