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The world's largest free trade agreement RCEP and its financial markets - A perspective on volatility and risk

Author

Listed:
  • Marc Atkins

    (Paderborn University)

  • Christian Peitz

    (Paderborn University)

Abstract

We analyse the largest financial markets as well as the most a affected industries of the Regional Comprehensive Economic Partnership (RCEP) zone and examine them for their respective market risk and stability. Trade decisions with RCEP member countries are in uenced by the stability of financial markets within the RCEP free trade area. To this end, we examine the largest financial markets in terms of volatility and risk using various GARCH models. Our focus is on the financial markets of the largest of the 15 RCEP member countries, namely China, Japan, South Korea, Australia, Indonesia and Thailand. We consider whether RCEP's expected entry into force as well as this event itself have an impact on the respective financial markets by means of an event analysis. We further derive the most e ected industries by the agreement and extend our analysis to the sector-level. We examine the largest companies of the automotive industry, the computer, electronic and electrical equipment sector as well as the chemical industry and analyse their performance and volatility over time.

Suggested Citation

  • Marc Atkins & Christian Peitz, 2023. "The world's largest free trade agreement RCEP and its financial markets - A perspective on volatility and risk," Working Papers Dissertations 113, Paderborn University, Faculty of Business Administration and Economics.
    • Handle: RePEc:pdn:dispap:113
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    ARCH models; trade policy; RCEP; event analysis; financial risk;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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