ABSTRACT

The study attempts to examine the spillover effect of volatility of Oil Prices on Mutual Funds industry of Pakistan. Time-series data is used for this study, for the period of 2013 to 2021. Daily data of 40 mutual funds of Pakistan for NAV’s and Brent oil prices have been collected. The study has employed methodology of ARCH, GARCH, EGARCH, TGARCH, DCCGARCH and ADCC-GARCH. The results indicate that volatility spillover exists from oil market to mutual fund industry of Pakistan. Majority of the funds show high volatility when volatility in oil prices exists. The positive news in oil market affects the returns of the funds more as compared to the negative information. This study recommends that if more investments are made in the mutual fund market, then it can develop at a much faster rate. This is an opportunity for the investors to invest more and gain considerable profits