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International spillovers into Asian stock markets under the unconventional monetary policies of advanced countries

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  • Sugimoto, Kimiko
  • Matsuki, Takashi

Abstract

This paper examines the relative importance of stock return spillovers among four global and nine Asian markets by using the revised measure of Diebold and Yilmaz (2012, 2014) for January 3, 2005 to September 29, 2017. The obtained results reveal the following three facts. First, Asian stock markets, which were globally integrated before the global financial crisis, began to be regionally integrated thereafter. Second, the US-to-Asia spillover is the largest among global-to-Asia spillovers during the sample period. Third, the degree of the Asia-to-Japan spillback is comparable to that of the Japan-to-Asia spillover.

Suggested Citation

  • Sugimoto, Kimiko & Matsuki, Takashi, 2019. "International spillovers into Asian stock markets under the unconventional monetary policies of advanced countries," Journal of the Japanese and International Economies, Elsevier, vol. 52(C), pages 171-188.
    • Handle: RePEc:eee:jjieco:v:52:y:2019:i:c:p:171-188
    DOI: 10.1016/j.jjie.2018.10.001
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    Citations

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    Cited by:

    1. Oguzhan Ozcelebi & José A. Pérez‐Montiel, 2023. "Examination of the impacts of the immediate interest rate of the United States and the VIX on the Dow Jones Islamic Market Index," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1157-1180, October.
    2. Iwatsubo, Kentaro & Watkins, Clinton, 2021. "The changing role of foreign investors in Tokyo stock price formation," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    3. Urom, Christian & Guesmi, Khaled & Abid, Ilyes & Dagher, Leila, 2023. "Dynamic integration and transmission channels among interest rates and oil price shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 296-317.
    4. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2022. "International spillover effects of unconventional monetary policies of major central banks," International Review of Financial Analysis, Elsevier, vol. 79(C).
    5. Tomoo Inoue & Tatsuyoshi Okimoto, 2022. "How does unconventional monetary policy affect the global financial markets?," Empirical Economics, Springer, vol. 62(3), pages 1013-1036, March.

    More about this item

    Keywords

    Spillover; Variance decomposition; East Asian stock market; Quantitative easing; Market connectedness;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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