Asia-Pacific Stock Markets Research Articles

Spillover Effects of Oil Price Fluctuations on the U.S and Asia–Pacific Stock Markets: A Multivariate EGARCH Analysis

Spillover Effects of Oil Price Fluctuations on the U.S and Asia–Pacific Stock Markets: A Multivariate EGARCH Analysis

Performance of ESG-Integrated Smart Beta Strategies in Asia-Pacific Stock Markets

Performance of ESG-Integrated Smart Beta Strategies in Asia-Pacific Stock Markets

Market return spillover from the US to the Asia-Pacific Countries: The Role of Geopolitical Risk and the Information & Communication Technologies.

This study examines the market return spillovers from the US market to 10 Asia-Pacific stock markets, accounting for approximately 91 per cent of the region's GDP from 1991 to 2022. Our findings indicate an increased return spillover from the US stock market to the Asia-Pacific stock market over time, particularly after major global events such as the 1997 Asian and the 2008 global financial crises, the 2015 China stock market crash, and the COVID-19 pandemic. The 2008 global financial crisis had the most substantial impact on these events. In addition, the findings also indicate that US economic policy uncertainty and US geopolitical risk significantly affect spillovers from the US to the Asia-Pacific markets. In contrast, the geopolitical risk of Asia-Pacific countries reduces these spillovers. The study also highlights the significant impact of information and communication technologies (ICT) on these spillovers. Given the increasing integration of global financial markets, the findings of this research are expected to provide valuable policy implications for investors and policymakers.

Asia-Pacific stock market return and volatility in the uncertain world: Evidence from the nonlinear autoregressive distributed lag approach.

This paper examines the effects of three distinct groups of uncertainties on market return and volatility in the Asia-Pacific countries, including (i) the country-specific and US geopolitical risks; (ii) the US economic policy uncertainty; and (iii) the US stock market volatility (using the VIX and SKEW indices). Our sample includes 11 Asia-Pacific countries for the 1985-2022 period. We employ the nonlinear autoregressive distributed lag approach (ARDL) estimation technique to capture the asymmetric effects of uncertainties on market return and volatility, which are documented in the literature. Some findings are documented as follows. First, we find that US uncertainty indices, including US geopolitical risk, US economic policy uncertainty, and US VIX, significantly impact Asia-Pacific stock markets, while the impacts of domestic geopolitical risk and the US skewness index (SKEW) are relatively weak. Second, Asia-Pacific stock markets tend to overreact to uncertainty shocks stemming from US economic policy uncertainty and US geopolitical risk. Third, US economic policy uncertainty has more significant effects than the US geopolitical risk. Finally, our research documents that Asia-Pacific stock markets react heterogeneously to good and bad news from US VIX. Specifically, an increase in US VIX (bad news) has a stronger impact than a decrease in US VIX (good news). Policy implications have emerged based on the findings of this study.

Return and Volatility Spillovers of Asian Pacific Stock Markets’ Energy Indices

The aim of the study was to investigate the presence of volatility among the Energy Indices of Asia Pacific Stock Markets. To test the volatility among the daily returns of Energy Indices of Asia Pacific Stock Markets, the study selected five sample Asian Pacific stock markets’ Energy Indices on the basis of availability of data. The findings of descriptive statistics and the ADF Test revealed, that the daily returns of the sample energy indices of Asian Pacific stock markets were not normally distributed and achieved stationarity at level difference, over the research period. Hence the data may be used for additional analysis. The data were then analysed, by using the GARCH (1,1) model to assess the considerable volatility of daily returns of sample energy indices and the study, which revealed that during the study period, all of the sample energy indices were volatile.

Performance of ESG-Integrated Smart Beta Strategies in Asia-Pacific Stock Markets

Performance of ESG-Integrated Smart Beta Strategies in Asia-Pacific Stock Markets

Anomalies in Asia Pacific Stock Markets: A Re-Examination of the Turn-of-the-Year Effect

This paper examines the turn-of-the-year (TOY) effect in fifteen Asia Pacific stock indices by using an updated dataset. The analysis utilizes the daily datasets spanning from 2000 to 2018. Applying the Ordinary Least Square (OLS) and the Exponential Generalized Autoregressive Conditional Heteroskedastic (EGARCH) approach, the results of this paper suggest that the TOY effect becomes detectable again after the Global Financial Crisis (GFC) in developed markets with the tax year not ending in December. Furthermore, the magnitude of this anomaly diminishes in emerging markets after the GFC, which is consistent with the Efficient Market Hypothesis (EMH). The evidence of the leverage effect in the market volatility shows in negative shocks that it is considerably higher than that of positive shocks for all markets. This phenomenon is more evident in mature markets compared to emerging markets. The positive connection between the leverage effect and stock market volatility is seen with diminishing magnitude during the stable market condition after the GFC.

Markets Dependence in Times of Turmoil: Evidence from US and Asia-Pacific Stock Markets

Markets Dependence in Times of Turmoil: Evidence from US and Asia-Pacific Stock Markets

COVID-19 Vaccinations and Risk Spillovers: Evidence from Asia-Pacific Stock Markets

COVID-19 Vaccinations and Risk Spillovers: Evidence from Asia-Pacific Stock Markets

Turn-of-the-Year Effect in Asia Pacific Stock Markets: New Evidence

Turn-of-the-Year Effect in Asia Pacific Stock Markets: New Evidence

Spillovers and portfolio optimization of agricultural commodity and global equity markets

ABSTRACT We investigate the portfolio allocation and risk contribution characteristics of agricultural commodities, and the volatility spillovers between agricultural commodities and global and regional equity markets. We draw our results by applying a directional spillover index and a nonlinear portfolio optimization method. We find that the largest transmission and reception of spillovers occur among wheat, corn and soybeans, and between sugar cane and sugar beets. All global and regional stock market indices considered most largely spillover on cotton and cocoa. The global and Americas stock market indices are most largely spillovered by corn and soybeans. Also, while the European stock market index is most largely spillovered by cotton, the Asia Pacific stock market index is most largely spillovered by wheat and coffee. The portfolio optimization shows that sugar cane, followed by wheat and corn, are the largest risk contributors to total portfolio risk, whereas, cocoa, followed by lumber and cotton, are the lowest risk contributors to total portfolio risk. Cocoa and lumber are the most desirable for investment. Implications of the results are discussed.

Integrasi Indeks Saham Pada Bursa Negara Kawasan Asia Pasifik

Financial liberalization that occur in many countries in the world will cause stock market in that countries are integrated. Asia Pacific stock markets are very potential for investors to investing their capital because the Asia Pacific stock markets are very potential to make maximum returns for the investors. The aim of this researches are to analyze integration that occur in the Asia Pacific stock markets and to know that Asia Pacific stock markets are suitable for investors to diversifying their portfolio. This research are using the closing price of the Asia Pacific stock markets from April 2011 – March 2019 using Johansen cointegration test and vector error correction model. The result shows that Asia Pacific stock markets are integrated shows with seven cointegrating values in Johansen cointegration test and investors cannot diversifying their portfolio in the Asia Pacific stock market because of positive correlation coefficient values from all of the variables

Data-Mining Bootstrap Procedure with Potential Predictors in Forecasting Models: Evidence from Eight Countries in the Asia-Pacific Stock Markets

Data-Mining Bootstrap Procedure with Potential Predictors in Forecasting Models: Evidence from Eight Countries in the Asia-Pacific Stock Markets-Data-Mining, Bootstrap, In-Sample Predictability, Out-of-Sample Predictability, Forecasting

Data-Mining Bootstrap Procedure with Potential Predictors in Forecasting Models: Evidence from Eight Countries in the Asia-Pacific Stock Markets

We use a data-mining bootstrap procedure to investigate the predictability test in the eight Asia-Pacific regional stock markets using in-sample and out-of-sample forecasting models. We address ourselves to the data-mining bias issues by using the data-mining bootstrap procedure proposed by Inoue and Kilian and applied to the US stock market data by Rapach and Wohar. The empirical findings show that stock returns are predictable not only in-sample but out-of-sample in Hong Kong, Malaysia, Singapore, and Korea with a few exceptions for some forecasting horizons. However, we find some significant disparity between in-sample and out-of-sample predictability in the Korean stock market. For Hong Kong, Malaysia, and Singapore, stock returns have predictable components both in-sample and out-of-sample. For the US, Australia, and Canada, we do not find any evidence of return predictability in-sample and out-of-sample with a few exceptions. For Japan, stock returns have a predictable component with price-earnings ratio as a forecasting variable for some out-of-sample forecasting horizons.

A Study on Volatility Management of the Smart-beta Portfolio: Focus on Asia-Pacific Stock Market

A Study on Volatility Management of the Smart-beta Portfolio: Focus on Asia-Pacific Stock Market

Asia-Pacific Stock Market Connectedness: A Network Approach

This paper addresses network connectedness in stock returns and volatilities across the Asia-Pacific economies over the pre- and post-GFC periods. This study also uses the MSCI-classified group-specific latent factors to examine their connectedness among the developed and emerging markets in different Asia-Pacific regions. We find that (i) based on the return connectedness measures, global financial hubs - Singapore and Hong Kong - and Australia play an important role as efficient return information transmitters across stock markets, (ii) the United States is an overwhelming volatility transmitter as a net source of shocks during the global financial crisis, and subsequent volatility spillovers spread the crisis shock to each other in the region, (iii) comparing the results between the pre- and post-GFC periods, Canada was a net volatility transmitter before the GFC but has changed to a net volatility receiver after the GFC, and Korea has magnified the position of a net volatility receiver after the GFC, and (iv) in terms of the degree of total spillovers in returns and volatilities at large, stock market connectedness in the Pacific Rim was reinforced after the GFC. These findings support the potential feasibility of financial cooperation and uphold a cause of regionally coordinated macro-financial policies against systemic risk vulnerability.

Tail Risk Spillover in Asia Pacific Stock Market

This paper examines financial linkages among Asia-Pacific stock markets and those between these markets and other global markets. By studying the mean and tail dependences of the 37 stock market indices, we find that while Asia-Pacific stock markets is mainly driven by shocks within the Asia-Pacific region under mean dependence, shocks from regional and non-regional markets are equally considerable to Asia Pacific in the tail. In particular, shocks from Latin America and EMEA have increased notably after the taper tantrum. Moreover, we find that price-earnings ratios can explain the sensitivity of individual Asia-Pacific economy to shocks under the tail dependence, but does not seem to offer any explanatory power under mean dependence.

Impact of the Global Financial Crisis on Volatility Spillover between U.S. and Asia-Pacific Stock Markets

We examined the impact of the global financial crisis (GFC) on volatility spillover between the stock market in the United States and those markets in seven Asia-Pacific countries: Australia, China, Hong Kong, Japan, Korea, Singapore, and Taiwan. We used the daily closing spot price of the Morgan Stanley capital index (MSCI) of these markets, and the multivariate fractionally integrated asymmetric power autoregressive conditional heteroskedasticity (FIAPARCH)-dynamic conditional correlation (DCC) model as the measure of spillover, considering long memory and asymmetry as features of volatility. Our empirical results provide strong evidence of asymmetry and long memory in the conditional volatility of, and significant dynamic correlations between, the U.S. and Asia-Pacific stock markets. Moreover, we compared the optimal portfolio weights and time-varying hedge ratios before and after the GFC, and concluded that portfolio investors paid more hedge costs after the GFC.

An Exploration of the Time-varying Beta of the International Capital Asset Pricing Model: The Case of the Japanese and the Other Asia-Pacific Stock Markets

This study clarifies the state of dynamic evolution of the international CAPM betas for Asia Pacific (excluding Japan) and Japanese stock returns: first, both for Asia Pacific and Japanese stock markets, the time-invariant international CAPM beta values are not high. Second, over the period from July 2, 1990 to May 30, 2016, for Asia Pacific stock markets, the time-varying international CAPM betas gradually increase; while for the Japanese market, the time-varying international CAPM betas gradually decrease. We also find that the international time-varying CAPM betas for Japan are recently lower than those for Asia Pacific markets, thus, in the global equity investments, Japanese equities are more useful to obtain the diversification effects than the other Asia Pacific equities.

Modelling Volatility of Asia Pacific Stock Market

Stock returns have a strong positive relation with the volatility estimates. In the present turbulent and tranquil situation, the selection of an appropriate volatility model is highly crucial for financial analysts, investors and market regulators. The presentstudy aims at modelling volatility of stock market of 9 Asian pacific countries viz., Australia, China, Hong Kong, India, Indonesia, Japan, New Zealand, South Korea and Taiwan. The study attempts to propose best model that can predict stock return after due consideration of leverage effect of the concerned market. The results indicate that none of the selected stock return follows normal distribution. All financial time series found to be is stationary at level and witness hetereoscedasticity, volatility clustering and presence of leverage effect. AIC and SIC suggest the use of GARCH model to predict the return of Chinese stock market. The volatility of Indian stock market and Hong Kong stock market can be better captured by A-PARCH model. For rest of the markets, AIC primarily advocates A-Parch model whereas SIC recommends the use of EGARCH model.