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Co-Movement of Forex Rate and Share Price of Pakistan Stock Exchange - An Application of Copula Models

This paper examines the relationship between the forex rate and the share price of the Pakistan Stock Exchange. The study provides additional understating of the complex nature of the relationship among bi-variate time series using the Copula model. Copula models are best suited to find the co-movement of time series data integrating the possible latent structure of the relationship through estimation of joint distribution with the help of marginal distribution of each time series variable. Alike from the traditional time series analysis, Copula models are best suited to estimate the complex relationship, specifically the tail dependence structure of joint distribution of the variables. Results of the study highlight a significant two-sided tail dependence structure between the Forex rate and share price of the Pakistan Stock Exchange.