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Does Intra-regional Trade Matter in Regional Stock Markets? New Evidence from the Asia-Pacific Region

Title
Does Intra-regional Trade Matter in Regional Stock Markets? New Evidence from the Asia-Pacific Region
Authors
Kim, Sei-WanChoi, Moon JungKim, Young-Min
Ewha Authors
김세완
SCOPUS Author ID
김세완scopus
Issue Date
2019
Journal Title
ASIAN ECONOMIC JOURNAL
ISSN
1351-3958JCR Link

1467-8381JCR Link
Citation
ASIAN ECONOMIC JOURNAL vol. 33, no. 3, pp. 253 - 280
Keywords
regional tradestock marketsregime changesmooth transition autoregressive model
Publisher
WILEY
Indexed
SSCI; SCOPUS WOS
Document Type
Article
Abstract
We provide new evidence on the relationship between bilateral trade and stock market returns across the Asia-Pacific region. Using three country blocs in this region, including the Far Eastern bloc, the Chinese bloc and the Australian bloc, we examine whether trade linkages between countries affect their stock returns. Incorporating two distinct dynamic properties of regime shifting and cointegration in intra-regional trade and stock market returns, we employ the newly suggested multivariable smooth transition autoregressive vector error correction model (STAR-VECM). A series of estimations reveals evidence that bilateral trade significantly Granger-causes stock returns in the Asia-Pacific region, with effects that are asymmetric depending upon the stock market regime and the country pair. Among the three blocs, the Far Eastern bloc displays a more pronounced positive effect of bilateral trade growth on stock returns than do the other blocs.
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DOI
10.1111/asej.12186
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
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