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International Journal of Accounting Business and Finance
Article . 2024 . Peer-reviewed
License: CC BY NC
Data sources: Crossref
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Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets

Authors: Parminder Kaur Bajaj; Shubham Kakran; Rupinder Katoch;

Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets

Abstract

The interdependence of stock markets provides important discernment into the behavior of the larger international financial markets. This study investigates magnitude and directional volatility spillover patterns among developed and emerging countries within the APEC bloc, utilizing the TVP-VAR model. The findings indicate that Russia (15.06%), Vietnam11.64%), and Thailand (11.57%) are identified as major transmitters, and Malaysia (-28.95%), Philippines (-9.28%), China (-9.53%) are major receptor of the volatility spillovers in APEC emerging countries. In APEC-developed countries, the United States (56.85%) and Canada (42.6%) are major transmitters, and Japan (-34.02%) and Australia (-53.54%) are identified as a major receptor of the spillover. Moreover, COVID-19 was the most significant crisis, with the highest volatility spillover identified in the APEC bloc's developed and emerging economies. The discoveries have substantial ramifications, offering valuable insights into optimal investment strategies by identifying patterns, magnitudes, and directions of economic volatility shocks.

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    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
2
Top 10%
Average
Average
gold
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