Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets

Parminder Kaur Bajaj (), Shubham Kakran () and Rupinder Katoch ()

International Journal of Accounting, Business and Finance, 2023, vol. 2, issue 2, 63-89

Abstract: The interdependence of stock markets provides important discernment into the behavior of the larger international financial markets. This study investigates magnitude and directional volatility spillover patterns among developed and emerging countries within the APEC bloc, utilizing the TVP-VAR model. The findings indicate that Russia (15.06%), Vietnam11.64%), and Thailand (11.57%) are identified as major transmitters, and Malaysia (-28.95%), Philippines (-9.28%), China (-9.53%) are major receptor of the volatility spillovers in APEC emerging countries. In APEC-developed countries, the United States (56.85%) and Canada (42.6%) are major transmitters, and Japan (-34.02%) and Australia (-53.54%) are identified as a major receptor of the spillover. Moreover, COVID-19 was the most significant crisis, with the highest volatility spillover identified in the APEC bloc's developed and emerging economies. The discoveries have substantial ramifications, offering valuable insights into optimal investment strategies by identifying patterns, magnitudes, and directions of economic volatility shocks.

Keywords: Asia Pacific Economic Cooperation; COVID-19; Financial Stock Market; Russia-Ukraine crises; Volatility spillover (search for similar items in EconPapers)
Date: 2023
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