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World, Regional and Political Risk Influences Upon Asia Pacific Equity Market Returns

Author

Listed:
  • Richard Heaney

    (Reader, Department of Commerce, Faculty of Economics and Commerce, The Australian National University, Canberra, ACT, 0200.)

  • Vince Hooper

    (Lecturer, Department of Commerce, Faculty of Economics and Commerce, The Australian National University, Canberra, ACT, 0200.)

Abstract

This paper focuses on the explanatory power of world influences, regional effects and political risk indices on the equity market returns for a selection of Asia Pacific countries. The results support the notion that emerging equity market returns are driven by both regional and global factors. Political risk indices provide little explanatory power over returns. It is discovered that ‘Regionalism’ is a strong influence upon the markets located within ASEAN, and is priced accordingly. Countries whose equity markets are considered to be more open exhibit greater covariability with the world market portfolio. Financial risk indices provide some explanatory power over volatility for roughly half of the sample. The results suggest that emerging market returns may be captured more effectively by multi†index models that incorporate a regional factor and that political risk indices may help in explaining market volatility.

Suggested Citation

  • Richard Heaney & Vince Hooper, 1999. "World, Regional and Political Risk Influences Upon Asia Pacific Equity Market Returns," Australian Journal of Management, Australian School of Business, vol. 24(2), pages 131-142, December.
    • Handle: RePEc:sae:ausman:v:24:y:1999:i:2:p:131-142
    DOI: 10.1177/031289629902400203
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    References listed on IDEAS

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    Cited by:

    1. Anthony Goerzen & Stephen Sapp & Andrew Delios, 2010. "Investor Response to Environmental Risk in Foreign Direct Investment," Management International Review, Springer, vol. 50(6), pages 683-708, December.
    2. Hooy Chee-Wooi & Robert D. Brooks, 2015. "The Components of Systematic Risk and Their Determinants in The Malaysian Equity Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 151-176.

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