Multi-Scale Correlation between Indices during the period marking significant Political and Economic events : Evidence from Pakistan Stock Exchange using wavelet coherence and MGARCH-DCC

We researched the Multi-scale correlation between indices during political and economic activities marked certain events using daily return data from Pakistan stock markets from April 2010 to November 2020. These events included 1. Reform Efforts APR 2010 - MAY 2011, 2. Memo Gate DEC 2011 - JUL 2012, 3. Sunni Extremist Violence Increases SEP 2012 - OCT 2014, 4. Peshawar School Attack DEC 2014 - MAR 2017, 5. Rise of Imran Khan AUG 2017 - FEB 2019, and 6. COVID-19 DEC 2019 - NOV 2020. The results suggested that KSE 100 and KMI 30 are both correlated with each other, according to wavelet coherence and MGARCH-DCC. However, during the Covid-19 era, the investment horizons become more unpredictable. Periods 2, 5, and 6 are, on the other hand, less correlated and unpredictable. Throughout the time, it was also discovered that KSE 100 and KMI 30 are both positively correlated