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Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets

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  • Parminder Kaur Bajaj

  • Shubham Kakran

  • Rupinder Katoch

Abstract

The interdependence of stock markets provides important discernment into the behavior of the larger international financial markets. This study investigates magnitude and directional volatility spillover patterns among developed and emerging countries within the APEC bloc, utilizing the TVP-VAR model. The findings indicate that Russia (15.06%), Vietnam11.64%), and Thailand (11.57%) are identified as major transmitters, and Malaysia (-28.95%), Philippines (-9.28%), China (-9.53%) are major receptor of the volatility spillovers in APEC emerging countries. In APEC-developed countries, the United States (56.85%) and Canada (42.6%) are major transmitters, and Japan (-34.02%) and Australia (-53.54%) are identified as a major receptor of the spillover. Moreover, COVID-19 was the most significant crisis, with the highest volatility spillover identified in the APEC bloc's developed and emerging economies. The discoveries have substantial ramifications, offering valuable insights into optimal investment strategies by identifying patterns, magnitudes, and directions of economic volatility shocks.

Suggested Citation

  • Parminder Kaur Bajaj & Shubham Kakran & Rupinder Katoch, 2023. "Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets," International Journal of Accounting, Business and Finance, Indian Accounting Association, Patna Branch, vol. 2(2), pages 63-89.
    • Handle: RePEc:dbs:ijabfi:v:2:y:2023:i:2:p:63-89:id:120
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    References listed on IDEAS

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