Abstract
This study examines the impact of the US macroeconomic information on stock market returns in Asia-Pacific countries in the age of economic globalization. Macroeconomic indicators used for analysis are consumer price index, industrial production index, initial jobless claims, total nonfarm payrolls, 10-year treasury maturity rate, civilian unemployment rate, trade-weighted US Dollar index and JPY/USD exchange rate. GARCH model estimation is employed to investigate the effect of changes in these variables on stock market returns in Asia-Pacific countries using monthly data of the period from July 1997 to September 2015. The results show that all stock market returns in sample countries are affected by one or more variables from the US. Both trade-weighted US Dollar and Japanese Yen are the factors that affect stock markets in Asia-Pacific region most extensively. As to volatility spillover effect, the volatility in consumer price index is found to be transmitted into the stock markets in several countries.
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