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

Marc Atkinis () and Christian Peitz ()
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Marc Atkinis: Paderborn University
Christian Peitz: Paderborn University

No 113, Working Papers Dissertations from Paderborn University, Faculty of Business Administration and Economics

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.

Keywords: ARCH models; trade policy; RCEP; event analysis; financial risk (search for similar items in EconPapers)
JEL-codes: C51 F13 G14 G32 (search for similar items in EconPapers)
Pages: 57
Date: 2023-08
New Economics Papers: this item is included in nep-int, nep-rmg and nep-sea
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