Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region

Kim, Sei Wan; Choi, Moon Jung; Kim, Young Min

doi:10.1111/asej.12186

Cited by 4 publications

(2 citation statements)

References 60 publications

(116 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The relationship between these series may not hold in the short run, but this deviation does not hold due to the market forces, government regulations and investor's preferences (Ghosh, Saidi, & Johnson, 1999;Dhanaraj, Gopalaswamy, & Babu, 2017;Ge, Wu, Zhang, & Zou, 2019). Numerous studies have documented the dynamic linkages between different equity markets and volatility transmission mechanisms based on such interdependence (Hasan, Saleem, & Abdullah, 2008;Abbas, Khan, & Shah, 2013;Fraz & Hasan, 2016;Paramati et al, 2018;Kim, Choi, & Kim, 2019). Roll (1992) investigates the disparate behavior of the different equity market indices and report that some market indices are highly diversified as compared to the others.…”

Section: Review Of Literaturementioning

confidence: 99%

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

Fraz

Hassan

Chughtai

2020

JAEBS

View full text Add to dashboard Cite

The study investigates the impact of bilateral trade, economic fundamentals and financial crisis on the equity market integration (EMI) of Pakistan’s equity market with its major global trading partners (China, India, USA and UK) for the period 1998 to 2016. The findings of the study indicate that bilateral trade and economic conditions have a significant impact on EMI, the export dependence of two economies may increase the EMI and import dependence reduces the EMI of two economies. Moreover, inflation differential and volatility in the bilateral exchange rate have a negative impact on EMI. It implies that inflation rates in Pakistan’s equity market are higher as compare to other markets and volatility in bilateral exchange rate may reduce trade flows and its tendency to follow other market (Bracker, Docking , & Koch, 1999). Furthermore, the financial crisis in an economy may reduce the EMI with its trading partners and EMI between different markets is affected by their bilateral economic fundamentals. The results imply that financial integration between different markets is affected by their bilateral economic fundamentals. The study has strong implications for international investors who need to assess risks and benefits associated with international portfolio diversification.

show abstract

Section: Review Of Literaturementioning

confidence: 99%

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

Fraz

Hassan

Chughtai

2020

JAEBS

View full text Add to dashboard Cite

show abstract

“…These effects can differ depending on the bond yield regime. For more appropriate regime changing characteristics, Kim et al (2019) used a STAR model that incorporates endogenous changes of stock market regimes. They found significant differences in the degree of financial market integration between expansionary and contractionary stock market regimes across Asia and the Pacific.…”

Section: Introductionmentioning

confidence: 99%

How Does Inflation in Advanced Economies Affect Emerging Market Bond Yields? Empirical Evidence from Two Channels

Kim,

Park,

Tian

2023

View full text Add to dashboard Cite

This study uses multivariable smooth transition autoregressive–vector autoregressive (STAR–VAR), a novel model to explore how inflation in advanced economies affects emerging market bond yields. Results reveal two key findings. First, advanced economy inflation has a significant effect on emerging market bond yields. Second, the short-run effect of advanced economy inflation on the bond yields of emerging markets is asymmetric between the expansion and contraction regimes. The effect is mostly positive in both regimes but stronger in a bond yield’s contraction regime.

show abstract

Cross-border ripples: investigating stock market responses to Israel-Hamas conflict in trading partner nations using event study method

Bhattacharjee,

Sidana,

Goel

et al. 2024

JES

View full text Add to dashboard Cite

PurposeThe study will add to the current discourse on the Israel-Hamas conflict by examining the impact of the war on the stock markets of trading partners. Stock market returns inevitably rise as globalization keeps integrating financial markets and economies around the world. Thus, the impact of war is assessed across a range of indicators that are similar in some way, such as geographic location, political climate or economic standing. Thus, the goal of this study is to investigate how the Israel-Hamas war affects trading partner countries' stock performance.Design/methodology/approachEvent study methodology is applied using Morgan Stanley Capital Index (MSCI) as a benchmark index. The influence of the Israel-Hamas war on the world's major stock markets is evaluated using a market model. The study takes into account Israel and its 23 trading partners. To capture the locational asymmetry in the outcome, the countries are further categorized according to their geographic locations. The official declaration of war came on October 7, 2023, a non-trading day. Consequently, October 9, 2023, is designated as the event day in this study. The data was gathered between January 1, 2023, and December 31, 2023, with an estimation period of 140 days taken into account to minimize bias.FindingsAsymmetric response is shown among the nations due to their economic standing, geographic proximity and trading links with Israel. While Austria, Greece, Egypt, Palestine and Israel had the greatest negative effects, Argentina, Japan and Chile saw significant beneficial effects. The remaining nations had little effect. The market quickly adjusted itself, eliminating anomalous returns.Research limitations/implicationsTaking into account the topic's criticality, the current work has certain limits. The study has used the daily data to limit its reach to the stock market exclusively. In the future, academics can combine high-frequency stock market data with data from other macroeconomic variables, such as currency or different commodities markets, to further their research. Furthermore, a cross-national comparison of the impact in terms of direction and intensity regarding developing global groups such as I2U2, LEVANT, BRICS, MIKTA, SCO, NATO, SAARC and OECD can provide a more comprehensive understanding in this context. To gain insight into the durability and adaptation of financial systems over time, longitudinal studies could be conducted to monitor the long-term effects of geopolitical crises on the stock markets of trading partner countries.Practical implicationsBy better managing investment portfolios and evaluating potential risks associated with trading partners involved in such conflicts, investors and businesses can lessen the impact of geopolitical tensions on stock market performance. These results contribute to our understanding of how geopolitical conflicts affect stock markets.Originality/valueThis research provides an extensive analysis of the global impact of Israel-Hamas tensions on stock market volatility by taking into account trading partners. This allows for the investigation of how various market structures and economic systems react to geopolitical turmoil. The present study is one of the first attempts to look into how disturbances in one region might affect continents to better understand the dynamics of global trade and economic interdependencies.

show abstract

Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region

Cited by 4 publications

References 60 publications

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

How Does Inflation in Advanced Economies Affect Emerging Market Bond Yields? Empirical Evidence from Two Channels

Cross-border ripples: investigating stock market responses to Israel-Hamas conflict in trading partner nations using event study method

Contact Info

Product

Resources

About