Chinese vs. US Stock Market Transmission to Australasia, Hong Kong, and the ASEAN Group

Richard C. K. Burdekin () and Ran Tao
Additional contact information
Richard C. K. Burdekin: Robert Day School of Economics & Finance, Claremont McKenna College, 500 E. Ninth Street, Claremont, CA 91711, USA
Ran Tao: Department of Economics Business and Finance, Lake Forest College, 555 North Sheridan Road, Lake Forest, IL 60045, USA

JRFM, 2025, vol. 18, issue 3, 1-23

Abstract: This study seeks to quantify the rising financial linkages between mainland China, Australia, Hong Kong, New Zealand, and the six largest Association of Southeast Asian Nations (ASEAN group). Stock market co-movements would be consistent with growing trade ties. Our sample runs from 2010 through 2022, including the coronavirus pandemic. Markov switching analysis allows for changing effects as we move from periods of low market volatility to periods of high volatility. The results offer support for the premise that growing trade and investment ties between China, Australasia, Hong Kong, and the ASEAN region have been accompanied by significant financial market integration, as reflected in stock market co-movement. US effects are also significant and tend to be stronger during high-volatility episodes. Under low-volatility conditions, Shanghai effects become more important and are significant for all six ASEAN group countries.

Keywords: stock markets; international transmission; Australasia; ASEAN; China; Markov switching; F42; F36 (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/18/3/162/pdf (application/pdf)
https://www.mdpi.com/1911-8074/18/3/162/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:162-:d:1614748

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().