Does Intra-regional Trade Matter in Regional Stock Markets? New Evidence from the Asia-Pacific Region
- 주제(키워드) regional trade , stock markets , regime change , smooth transition autoregressive model
- 주제(기타) Economics
- 설명문(일반) [Kim, Sei-Wan] Ewha Womans Univ, Dept Econ, 52 Ewhayeodae Gil, Seoul 03760, South Korea; [Choi, Moon Jung] Bank Korea, Econ Res Inst, 55 Namdaemun Ro, Seoul 04531, South Korea; [Kim, Young-Min] Kangwon Natl Univ, Div Global Human Resources Reg Econ Major, 346 Jungang Ro, Samcheok Si 24341, Gangwon Do, South Korea
- 등재 SSCI, SCOPUS
- OA유형 Green Submitted
- 발행기관 WILEY
- 발행년도 2019
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000165913
- 본문언어 영어
- Published As http://dx.doi.org/10.1111/asej.12186
초록/요약
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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