Interconnectedness of Stock Market in Systemically Important Regions With VAR Model Approach

DOI

10.2991/aebmr.k.201126.055How to use a DOI?

Keywords

Stock market, market integration, vector autoregressive model

Abstract

This study explores the interconnectedness, market integration, and the intrinsic integration between countries included in Systemically Important Regions (SIRs), which are all developed countries. Countries included in SIRs are empirically showing to have a reduced degree of concentrated structure and its interconnectedness is not significantly associated to systemic risk (Fang, et al. 2019). We analyse whether there are impacts from those countries’ interconnectedness to its market integration. To this end, we examine twelve countries included in SIRs, with the dataset begins on June 2000 and ends on December 2018. Some approaches, such as vector autoregressive (VAR) model, Granger-causality, and simple market model are used to estimate SIRs countries’ interconnectedness and its intrinsic integration. Our key findings point to a filtered interconnectedness among SIRs’ stock markets would still reduce the systemic risk, as the connected lines before and after filtering process is still above four lines, except Slovakia.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zaskia Ayunda Lukietta
AU  - Buddi Wibowo
PY  - 2020
DA  - 2020/11/27
TI  - Interconnectedness of Stock Market in Systemically Important Regions With VAR Model Approach
BT  - Proceedings of the 5th Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA-5 2020)
PB  - Atlantis Press
SP  - 494
EP  - 500
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.201126.055
DO  - 10.2991/aebmr.k.201126.055
ID  - Lukietta2020
ER  -