World, Regional and Political Risk Influences Upon Asia Pacific Equity Market Returns

Richard Heaney and Vince Hooper
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Richard Heaney: Reader, Department of Commerce, Faculty of Economics and Commerce, The Australian National University, Canberra, ACT, 0200.
Vince Hooper: Lecturer, Department of Commerce, Faculty of Economics and Commerce, The Australian National University, Canberra, ACT, 0200.

Australian Journal of Management, 1999, vol. 24, issue 2, 131-142

Abstract: This paper focuses on the explanatory power of world influences, regional effects and political risk indices on the equity market returns for a selection of Asia Pacific countries. The results support the notion that emerging equity market returns are driven by both regional and global factors. Political risk indices provide little explanatory power over returns. It is discovered that ‘Regionalism’ is a strong influence upon the markets located within ASEAN, and is priced accordingly. Countries whose equity markets are considered to be more open exhibit greater covariability with the world market portfolio. Financial risk indices provide some explanatory power over volatility for roughly half of the sample. The results suggest that emerging market returns may be captured more effectively by multi†index models that incorporate a regional factor and that political risk indices may help in explaining market volatility.

Keywords: EMERGING EQUITY MARKETS; REGIONAL; ASEAN; APEC; POLITICAL RISK; VOLATILITY (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:24:y:1999:i:2:p:131-142

DOI: 10.1177/031289629902400203

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