The Time-Varying Effects of Geopolitical Risks on the Stock Dynamics of Asian Countries: Comparative Analysis of Korea, China, Japan and India

• 발행기관: 한국무역학회
• 저자명: Menghua Li Eun-Ha Koh
• 간행물 정보: 『Journal of Korea Trade (JKT)』Vol.28 No.8, 273~299쪽, 전체 27쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2024.12.31

국문 초록

Purpose - This study adopts the geopolitical risks (GPRs) index introduced by Caldara and Iacoviello (2016) and investigates their impacts on four major Asian stock markets (Korea, China, Japan, and India) through an empirical analysis using the time-series pairwise equivalent variable-vector autoregressive model (TVP-VAR) model. Design/Methodology - First, this study uses recently proposed GPR indices for the empirical study, which solves the problems of temporal discontinuity in real time. Second, this study employs the TVP-VAR to examine the impact of GPRs shocks on the dynamics of stock returns in four countries (China, South Korea, Japan, and India) over three time horizons and three time points. Findings - Our main findings can be summarized as follows:. First, the short- and long-term impacts are generally in the same direction, but the short-term impacts are more significant. Second, in the case based on stock price returns, the impact of the three geopolitical indices shocks on Chinese stock index returns is the most significant, whereas in the case based on stock price range volatility, the impact of the three geopolitical indices shocks on Indian stock index range volatility is the most obvious. Third, the time variation trend in the response of Korean stock price returns to shocks from the GPRs is similar to that in Japanese stock price returns to shocks from the GPRs, and the magnitudes of the responses are similar. The following can be revealed from the time-varying response of the stock market to the three GPRs at different time points. In all three time periods of the “Attack of September 11,” “2003 Invasion of Iraq War” and “Russia-Ukraine War,” the impact of the three GPR index shocks on the four stock markets had the strongest impact in the short run. However, the geopolitical threats (GPRT), which is used to measure wars, terrorist attacks, mass protests, and other major geopolitical conflicts, has a more significant and persistent impact on the stock markets of China and India. Originality/value - This study considered four major Asian markets, namely, Korea, China, Japan, and India for a comparative study to analyze the impact of GPRs on stock markets. The results of this study provide insights into the four major Asian stock markets and economies that are equivalent to those of the dominant USA. In addition, understanding the characteristics of macroshocks in the Korean economy have important implications not only for financial relations but also for trade relations.

목차

1. Introduction

2. Literature Review

3. Model and Data

4. Empirical Results

5. Conclusion

References

키워드

TVP-VAR DCC-GARCH Geopolitical Risks Stock Dynamics