International spillovers into Asian stock markets under the unconventional monetary policies of advanced countries

Kimiko Sugimoto and Takashi Matsuki

Journal of the Japanese and International Economies, 2019, vol. 52, issue C, 171-188

Abstract: This paper examines the relative importance of stock return spillovers among four global and nine Asian markets by using the revised measure of Diebold and Yilmaz (2012, 2014) for January 3, 2005 to September 29, 2017. The obtained results reveal the following three facts. First, Asian stock markets, which were globally integrated before the global financial crisis, began to be regionally integrated thereafter. Second, the US-to-Asia spillover is the largest among global-to-Asia spillovers during the sample period. Third, the degree of the Asia-to-Japan spillback is comparable to that of the Japan-to-Asia spillover.

Keywords: Spillover; Variance decomposition; East Asian stock market; Quantitative easing; Market connectedness (search for similar items in EconPapers)
JEL-codes: F36 G15 O53 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:52:y:2019:i:c:p:171-188

DOI: 10.1016/j.jjie.2018.10.001

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