An Analysis of Financial Market Integration in Case of Pakistan
Author: Khurram Bashir

This study examines the issue of financial markets integration of three Asian financial markets China, India and Pakistan with the international markets using London Interbank Offer Rate -LIBOR as reference and with Asia regional market Singapore Interbank Offer Rate-SIBOR as reference from 1992-2016. Financial markets all over the world have witnessed growing integration within as well as across boundaries, spurred by deregulation, globalization and advances in information technology. Capital has become more mobile across national boundaries as nations are increasingly relying on savings of other nations to supplement the domestic savings. This study examines the integration of financial markets by using monthly data on call money rates, 6-month Treasury bill rates, domestic currency/US dollar exchange rate and stock market return of Bombay Stock market (India), Karachi stock market (Pakistan) and Shanghai Stock market (China) with London interbank offered rate (LIBOR) as international and Singapore interbank offered rate (SIBOR) as regional bench mark for borrowers and lenders. Co-integration technique is used to determine long run relationship with the international returns. The results indicated that in case of China there is one cointegrating vector from exchange rate to SIBOR. However, in case of India and Pakistan short term money market is still in the development stage and Exchange rate has no long run relationship with the LIBOR and SIBOR. The results of vector error correction model show the presence of positive long run relationship between call money rate and LIBOR, and T-bill rate and LIBOR in Chinese financial market. Granger Causality results indicate LIBOR causes KSE 100 index and SIBOR causes exchange rate, however, T-bill and call money rate have no causal link with LIBOR or SIBOR. Supervisor:- Dr. Attiya Yasmin Javaid

Meta Data

Keywords : Call Money Rate, Co-integration, Financial Market Integration, London interbank Offer /rate, Singapore Interbank Offer Rate, Treasury bill rate
Supervisor: Attiya Yasmin Javid

Related Thesis​