Co-movement of Asian stock markets:An empirical study

Abstract

This study employs the TVP-VAR connectedness method to explore the stock market interdependence among nine Asian major economies from 2010 to 2020. From the results, I observe that the interdependence level in the system varies in different years corresponding to global events. For example, the stock markets are more closely connected during the covid-19 pandemic. Moreover, each country has distinctive influence power on other countries, which also fluctuates with time. There exists great heterogeneity in terms of pairwise connectedness between every two countries. The findings have instructive meanings for investors to construct the optimal investing portfolio. The results are also meaningful for policymakers in terms of taking measures to stabilize the stock market in turbulent times.