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• W2897916716 abstract "This paper examines the relative importance of stock return spillovers among four global and nine Asian markets by using the revised measure of Diebold and Yilmaz (2012, 2014) for January 3, 2005 to September 29, 2017. The obtained results reveal the following three facts. First, Asian stock markets, which were globally integrated before the global financial crisis, began to be regionally integrated thereafter. Second, the US-to-Asia spillover is the largest among global-to-Asia spillovers during the sample period. Third, the degree of the Asia-to-Japan spillback is comparable to that of the Japan-to-Asia spillover. This paper also investigates which and how policy and economic factors affect one-way US-to-Asia and Japan-to-Asia spillovers in a panel regression, particularly under conventional and unconventional monetary policy. The regression results show that both conventional and unconventional monetary easing can increase these spillovers. However, the degree of their increases depends on the monetary policy instruments, combination of these instruments, and investors’ risk appetite and their sensitivity to the risks. To mitigate the external financial shocks induced by these root causes, for Asian markets, the restriction of capital inflows can be an effective prevention tool." @default.
• W2897916716 created "2018-10-26" @default.
• W2897916716 creator A5047758539 @default.
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• W2897916716 date "2019-06-01" @default.
• W2897916716 modified "2023-10-07" @default.
• W2897916716 title "International spillovers into Asian stock markets under the unconventional monetary policies of advanced countries" @default.
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• W2897916716 doi "https://doi.org/10.1016/j.jjie.2018.10.001" @default.
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