Sources of Return and Volatility Spillover for Pakistan : An Analysis of Exogenous Factors by using EGARCH Model

The purpose of this research is to determine the behavior and magnitude of return movements and volatility movements of KSE-100 index (Pakistan) with respective global index FPI (Foreign portfolio Investment), FDI (Foreign direct Investment). The ultimate goal is to find out the diversification opportunity of FPI for international investors during the Global financial crisis as well as to understand the behavior of investors during crisis. We found that FPI and FDI strong predictors of KSE-100 index. The results demonstrated that the negative behavior of return movements of KSE-100 with global index during crisis period provides an opportunity for international investors diversification