An Empirical Analysis Of Co-movement For Asian-Pacific Stock Markets

This study is divided into two aspects of theory and empirical,in theory,analyzes the path of the two aspects of capital flows and trade flows in the Asia-Pacific stock markets co-movement,which aims to provide theoretical support for the Asian and Pacific stock market comovement change. In the empirical analysis using Granger causality test, Johansen co-integration test, impulse response function and variance decomposition and VAR(3)-GARCH(1,1)-BEKK model to analyze the linkage between the stock market in the asia-pacific. The main research contents of this paper are as follows:(i) the Asia-Pacific countries (regions) correlation degree analysis between the stock market after the discovery, on the whole, both the correlation between the income, or the correlation between fluctuations, increased because of the financial crisis.(ii) the Granger causality test shows that, the occurrence of financial crisis makes the effects of the Asian and Pacific stock market relations changed obviously, breaking the original pattern before the crisis, the relationship between the stock market at the same time, each country (region) of other countries (regions) in the affected area is also changed greatly. The United States has a special position in the global economy, finance, whether it is before the crisis, still in crisis, change the stock market to other countries (regions) have significant impact on the stock market.(iii) the variance decomposition shows that later, before the financial crisis of different countries (regions) of fluctuations in the stock market to other countries (regions) of stock market volatility contribution degree is different, after the crisis, some contribution increases, some contribution to reduce. There are two countries more exceptions, a China's mainland, another is the Sri lanka. China and Sri Lanka in crisis before or after the crisis, the impact of the stock market volatility largely from its impact, less external interference. The impulse response from different degree reflects the crisis countries (regions) before and after the stock market impact on other countries (regions), the overall stock market, after the crisis, a country (region) stock of his country (region) than the stock market caused by the shock amplitude and duration from before the crisis.(iv)VAR(3)-GARCH (1,1)-BEKK model for the Asia-Pacific countries (regions) were studied before and after the stock market crisis between the mean return spillover effect and volatility spillover effect. The results show that, the occurrence of financial crisis makes the Asian and Pacific stock market linkage between the pattern changed obviously. The analysis results from the mean return spillover effect, the Asia-Pacific stock markets before and after the crisis the interplay between countries in the quantity change, before the crisis, a country (region) of stock market returns by more than one country (region) affect the stock market earnings, but after the crisis, affected country (region) to reduce the number of some; the country (region) is exactly the opposite of the situation, before the crisis affected countries (regions) are small in number, but after the crisis, the number is increased. At the same time, the financial crisis, the Asia-Pacific stock markets to each other in the earnings of two-way spillover effect increased significantly, VAR (3) model, a detailed description of the crisis and the Asia-Pacific countries (regions) influence on mean spillover effect. GARCH (1,1)-BEKK model is a detailed analysis of the situation, the volatility spillover effect between stock market in the Asia-Pacific analysis found that, before and after the crisis, the Asian and Pacific stock market between one-way and two-way volatility spillover effect is obviously different. Affected by the financial crisis, the crisis, the volatility spillover effect between stock market in the Asia-Pacific both increased significantly in one-way or two-way spillover spillover effects.In this paper, research methods, research angle data and empirical conclusions, has certain innovation:In the research perspective, based on the global financial crisis as the breakthrough point, standing on the perspective of international investors in Asia Pacific22countries (regions) of in-depth analysis of the linkage between conditions, comprehensive, detailed understanding of the Asian and Pacific stock market influence each other before and after the crisis and the degree of dependence. As investors according to their own preferences rational allocation of assets investment portfolio, risk diversification, to provide a scientific basis to maximize revenue.In the research method, this paper take the Granger causality test, Johansen co-integration test, impulse response, variance decomposition and VAR (3)-GARCH (1,1) method of-BEKK model combined the22Asia-Pacific countries (regions) to analyze the stock market co-movement, make up the previous analysis of some measurement methods which use only the defect, a thorough analysis of problems so that more.In the research of data, compared with the domestic scholars research the stock market the international comovement by the use of the stock market index, based on the Morgan Stanley Capital International Ltd.(MSCI), the index tracking of national or regional stock performance of22countries (regions) of initial data Co-movement of stock market.In conclusion, this paper adopt MSCI index is expressed in dollars makes an empirical study on the linkage between the stock market in the Asia-Pacific, the empirical results show that the influence of the Asia-Pacific stock markets before and after the crisis, the pattern has changed. Some countries (area) the stock market there are different degrees of contact before the crisis, but after the crisis, the original contact disappear, to make new connections. Before and after the mean return spillover effect and volatility spillover effect crisis changes.In conclusion, this paper is in the previous research, using new data, measurement method using a variety of international fashion, the22Asia-Pacific countries (regions) in-depth study linkage between the stock market, some meaningful results are obtained. For market investors, as countries (regions) of the linkage is very strong, investors can a country (region) price index of stock market trend accurately to other countries (regions) price index for judging the trend of the stock market, so as to disperse the risk according to their own preferences, the rational allocation of assets portfolio, maximum income; for policy makers and regulators, through the analysis of the linkage between the stock market situation, strengthen financial regulation, formulate effective measures to prevent the financial crisis contagion effect further, so as to protect the country (region) of the interests of investors and maintain the country (area) the stability of the financial market.