China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration

The paper analyses the trend of global stock market linkages via daily data of 51 stock indices spanning the period 22 July 2005 to 30 June 2016 which covers four regions: America, Europe, Asia Pacific and Africa. A dynamic conditional multivariate generalized autoregressive conditional heteroskedasticity (DCC-MVGARCH) approach was used to calculate dynamic correlation coefficient in order to construct the volatility networks. The methods of minimum spanning tree (MST) and low pass filter were for the first time applied to analyze the variable periodicity of the comovement. The original contribution of this paper is that contrary to previous works, financial events such as Quantitative Easing (QE) and Bailouts are accounted for rather than only crisis factors such as the 2008 financial crisis and the European Debt crisis. The main findings of the paper are as follows: (1) Financial crisis promotes and strengthens global stock markets linkage in the short run; (2) Linkage cycles post crisis are significantly short, due to the effect of monetary policy spillover effects caused by QE from developed to developing countries; and (3) European stock markets are the information transmission hub for global stock market. The research conclusions would be significant for both government to regulate markets as well as for investors to diversify risks.

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The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2008.12.001 ◽

2009 ◽

Vol 19 (3) ◽

pp. 415-431 ◽

Cited By ~ 16

Author(s):

Suk-Joong Kim ◽

Do Quoc Tho Nguyen

Keyword(s):

Interest Rate ◽

Central Bank ◽

Stock Markets ◽

European Central Bank ◽

Spillover Effects ◽

Asia Pacific ◽

European Central ◽

The U.S

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THE IMPACT OF EVOLVING MARKET INTEGRATION ON APEC EMERGING STOCK MARKETS' WORLD BETAS

Annals of Financial Economics ◽

10.1142/s2010495206500011 ◽

2006 ◽

Vol 02 (01) ◽

pp. 0650001

Author(s):

XIAO-MING LI ◽

LAWRENCE C ROSE

Keyword(s):

Stock Markets ◽

Market Integration ◽

Systematic Risk ◽

Asia Pacific ◽

Capital Asset Pricing ◽

International Capital ◽

Emerging Stock Markets ◽

Regulation Policy ◽

The Impact ◽

The Relationship

This paper, based on the international capital asset pricing model estimated using the Kalman filter (KF) technique, examines the relationship between market integration and the systematic risk of Asia-Pacific Economic Cooperation (APEC) emerging stock markets with respect to the world portfolio. We find strong evidence that local and regional integrations have effects on systematic risk and hence on returns, and certain evidence of the direct effects of market integrations on returns. Our results documented for individual markets show a heterogeneous pattern across the APEC region, implying that a one-rule-fits-all regulation policy would hurt some countries while assisting others.

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Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific

Jurnal Keuangan dan Perbankan ◽

10.26905/jkdp.v25i3.5822 ◽

2021 ◽

Vol 25 (3) ◽

pp. 466-491

Author(s):

Hayun Kusumah ◽

Marwan Asri ◽

Kusdhianto Setiawan ◽

Bowo Setiyono

Keyword(s):

Financial Crisis ◽

Stock Markets ◽

Market Integration ◽

Global Market ◽

Asia Pacific ◽

Dominant Factor ◽

Time Varying ◽

Regional Market ◽

Regional Perspective

This study investigates the time-varying integration of stock markets from a global and regional perspective, the consequences of two major global financial crises, i.e., the Asian Financial Crisis and the subprime mortgage, and the Crisis triggered by COVID-19. We contribute to the growing amount of literature on market integration, especially on the role of regional to global market integration. Although regional integration encourages an acceleration of global integration, the effect of a regional factor is not uniform among regions. It is important to understand regional to global market integration and the consequences during the crises. This study employs time-series data from economic territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification. It introduces an alternative measurement of time-varying integration by considering the correlation of regional and global markets using a simple international model, equivalent to the capital asset pricing model (CAPM). The result shows that the market integrations are time-varying both globally and regionally. The domestic markets are affected by the global market and its regional market, as the role of a regional market emerges during the financial crisis period. We find the different responses of stock markets during the Covid-19 period as a dominant factor to exacerbate the market return globally. In the long run, the upward trend for the regional market integration in both developed and emerging markets is inherent to the global market integration.DOI: 10.26905/jkdp.v25i3.5822

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