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Chinese vs. US Stock Market Transmission to Australasia, Hong Kong, and the ASEAN Group

Author

Listed:
  • Richard C. K. Burdekin

    (Robert Day School of Economics & Finance, Claremont McKenna College, 500 E. Ninth Street, Claremont, CA 91711, USA)

  • Ran Tao

    (Department of Economics Business and Finance, Lake Forest College, 555 North Sheridan Road, Lake Forest, IL 60045, USA)

Abstract

This study seeks to quantify the rising financial linkages between mainland China, Australia, Hong Kong, New Zealand, and the six largest Association of Southeast Asian Nations (ASEAN group). Stock market co-movements would be consistent with growing trade ties. Our sample runs from 2010 through 2022, including the coronavirus pandemic. Markov switching analysis allows for changing effects as we move from periods of low market volatility to periods of high volatility. The results offer support for the premise that growing trade and investment ties between China, Australasia, Hong Kong, and the ASEAN region have been accompanied by significant financial market integration, as reflected in stock market co-movement. US effects are also significant and tend to be stronger during high-volatility episodes. Under low-volatility conditions, Shanghai effects become more important and are significant for all six ASEAN group countries.

Suggested Citation

  • Richard C. K. Burdekin & Ran Tao, 2025. "Chinese vs. US Stock Market Transmission to Australasia, Hong Kong, and the ASEAN Group," JRFM, MDPI, vol. 18(3), pages 1-23, March.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:162-:d:1614748
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    More about this item

    Keywords

    stock markets; international transmission; Australasia; ASEAN; China; Markov switching; ; F42; F36;
    All these keywords.

    JEL classification:

    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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