 The impact of North Korean nuclear threat on stock market linkages in Northeast Asia: The case of South Korea, China, and JapanGeesun Lee Finance Research Letters, 2024, vol. 66, issue C Abstract: This study examines the impact of geopolitical risk from North Korea on the stock market linkages of Northeast Asia, namely South Korea, China, and Japan. Using daily returns and volatilities from 2012 to 2023 under the Kim Jong-Un regime, we employ TVP-VAR model to investigate the stock market linkages of Northeast Asia. We find that Northeast Asian stock markets are more affected by inter-Korean geopolitics than by global geopolitical concerns. Our findings emphasize the importance of considering country- or region-specific geopolitical concerns for risk management strategies for international investors. Additionally, this study provides valuable insights for policymakers, especially in light of the recent escalation in geopolitical tensions resulting from North Korea's nuclear threats. Implementing proactive measures to address and mitigate the impact of regional geopolitical risks on financial markets can promote stability and resilience in the economy. Keywords: Geopolitical risk; North Korea; Northeast Asia; Nuclear threat; Stock market linkage; War (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007578 DOI: 10.1016/j.frl.2024.105727 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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