Abstract
The purpose of this study is to investigate the long- and short-run comovement of stock market returns of Pakistan with developed and emerging Asian countries over the period 1995-2014  using ARDL cointegration approach and rolling window correlation. We find long- term and short- run cointegration relationships of Pakistan’s stock market returns with developed and  emerging Asian countries but for most of the cases in bivariate analysis we find the impact of developed and emerging Asian equity markets on Pakistan but not in opposite direction. Further,  we come across with low values of time varying correlation, indicating that Pakistan may be the attractive avenue for international investors for greater diversification benefits. We also observe that comovement of  stock market return is a time variant phenomenon and find greater comovement in the periods of financial crises relative to tranquil periods due to contagion or spillover of asset prices.
Keywords: Comovement of stock returns, Pakistan, developed and emerging Asian countries, ARDL cointegration approach, Rolling window correlation