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China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration

Author

Listed:
  • Xiaomeng Ma

    (Shenzhen University)

  • Dong Zou

    (Shenzhen Stock Exchange)

  • Chuanchao Huang

    (China Merchants Bank)

  • Shuliang Lv

    (China CITIC Bank)

Abstract

This study examines China’s influence in the Asia–Pacific stock markets by focusing on spillover effects and market integration and employs how the financial crises and financial liberalization affect the relationship among these markets. Based on the series of studies of Diebold and Yilmaz (2009, 2012, 2015), this study employs the generalized vector autoregressive framework to examine the spillover effects among the main Asia–Pacific stock markets. The multifactor R-squared measure proposed by Pukthuanthong and Roll (2009) is employed to examine the market integration of Chinese stock market. The results indicate that spillover effects and market integration tend to increase, indicating that China stock market is playing a more important role in the Asia–Pacific stock markets. This study provides more evidence that financial crises and financial liberalization can strengthen spillover effects and market integration.

Suggested Citation

  • Xiaomeng Ma & Dong Zou & Chuanchao Huang & Shuliang Lv, 2020. "China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration," Risk Management, Palgrave Macmillan, vol. 22(4), pages 338-361, December.
    • Handle: RePEc:pal:risman:v:22:y:2020:i:4:d:10.1057_s41283-020-00065-0
    DOI: 10.1057/s41283-020-00065-0
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    Cited by:

    1. Adnan Safi & Yingying Chen & Abdul Qayyum & Salman Wahab, 2022. "Business strategy, market power, and stock price crash risk: Evidence from China," Risk Management, Palgrave Macmillan, vol. 24(1), pages 34-54, March.
    2. Xu, Hao & Li, Songsong & Tian, Zhihong, 2023. "Does foreign equity investment impact the spillover effect of industries in China?," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).

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    More about this item

    Keywords

    Spillover effects; Market integration; Financial liberalization; Financial crisis;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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