Novel evidence from APEC countries on stock market integration and volatility spillover: A Diebold and Yilmaz approach

Figures & data

Table 1. Summary statistics of the APEC countries

	Mean	Minimum	Maximum	Variance	Standard deviation	Skewness	Kurtosis	Jarque-Bera (P-value)
AS51	0.000146	−0.102026	0.067655	0.000101	0.010051	−0.710201	8.608017	18304(0.00)
SPTSX	0.000145	−0.131761	0.112945	0.000112	0.010603	−0.994382	19.594133	93264(0.00)
IPSA	0.000277	−0.152155	0.118034	0.000116	0.010791	−0.751215	19.491459	91891(0.00)
HSI	0.000068	−0.13582	0.134068	0.0002	0.014125	0.012149	8.297368	16556(0.00)
JCI	0.000491	−0.10954	0.097042	0.000155	0.01246	−0.615264	8.38813	17284(0.00)
NKY	0.00012	−0.12111	0.132346	0.000202	0.014228	−0.365884	6.94192	11718(0.00)
KOSPI	0.000271	−0.128047	0.112844	0.000176	0.013268	−0.494297	7.663977	14360(0.00)
FBMKLCI	0.000139	−0.099785	0.066263	0.000057	0.00755	−0.752212	11.941528	34833(0.00)
MEXBOL	0.000381	−0.072661	0.104407	0.000137	0.011721	−0.05401	5.82914	8174.8(0.00)
IGBVL	0.000504	−0.132908	0.128156	0.000175	0.013211	−0.561416	12.418294	37385(0.00)
PCOMP	0.000269	−0.143224	0.161776	0.000159	0.012619	−0.436413	13.982751	47196(0.00)
IMOEX	0.000488	−0.404674	0.252261	0.000376	0.019387	−1.73962	49.923023	602127(0.00)
STI	0.000097	−0.08696	0.075305	0.000112	0.010594	−0.240719	6.625114	10611(0.00)
TWSE	0.000201	−0.069123	0.065246	0.000148	0.012167	−0.272355	3.725356	3409.8(0.00)
SET	0.000315	−0.160633	0.10577	0.000144	0.012011	−0.963055	14.76573	53316(0.00)
SPX	0.000192	−0.127652	0.109572	0.000149	0.012203	−0.41282	11.306787	30905(0.00)
VNINDEX	0.000284	−0.076557	0.066561	0.000205	0.014324	−0.387383	3.674645	3392.5(0.00)
SHCOMP	0.000075	−0.092561	0.09401	0.000213	0.014581	−0.421663	5.763327	8159.5(0.00)
NZSE50	0.000343	−0.078902	0.069366	0.000052	0.007209	−0.576047	8.921881	19461(0.00)

Table 2. Stationarity table - -ADF, PP test, KPSS test, and break-Point test of APEC countries

Countries	Index	ADF test		PP Test		KPSS Test—level		KPSS Test—Ist diff		Break Point unit root Test
		At Level	Ist Diff	At Level	Ist Diff	Test—Stat	Critical value*	Test—Stat	Critical value*	At Level	Ist Diff
Australia	AS51 Index	0.2548	0.0001	0.198	0.0001	0.4926	0.146	0.0342	0.146	0.8139	<0.01
Canada	SPTSX Index	0.0658	0.0001	0.0656	0.0001	0.421	0.146	0.026	0.146	0.8206	<0.01
Chile	IPSA Index	0.2681	0.0001	0.3116	0.0001	1.191	0.146	0.0329	0.146	0.5866	<0.01
Hong kong	HSI Index	0.193	0.0001	0.2917	0.0001	0.6543	0.146	0.035	0.146	0.3172	<0.01
Indonesia	JCI Index	0.091	0.0001	0.081	0.0001	0.593	0.146	0.032	0.146	0.7387	<0.01
Japan	NKY Index	0.3554	0.0001	0.3924	0.0001	1.516	0.146	0.033	0.146	0.773	<0.01
South Korea	KOSPI Index	0.1487	0.0001	0.1227	0.0001	0.5491	0.146	0.023	0.146	0.7243	<0.01
Malaysia	FBMKLCI Index	0.9018	0.0001	0.8849	0.0001	1.7521	0.146	0.045	0.146	0.2588	<0.01
Mexico	MEXBOL Index	0.3100	0.0001	0.410	0.0001	1.592	0.146	0.032	0.146	0.5395	<0.01
Peru	SPBLPGPT Index	0.612	0.0001	0.498	0.0001	1.1014	0.146	0.046	0.146	0.54	<0.01
Philippines	PCOMP Index	0.6274	0.0001	0.6324	0.0001	1.075	0.146	0.072	0.146	0.4988	<0.01
Russia	IMOEX Index	0.1262	0.0001	0.1895	0.0001	0.450	0.146	0.039	0.146	0.8031	<0.01
Singapore	STI Index	0.4221	0.0001	0.3007	0.0001	1.07	0.146	0.035	0.146	0.4889	<0.01
Taipei (Taiwan)	TWSE Index	0.3915	0.0001	0.385	0.0001	0.993	0.146	0.029	0.146	0.3773	<0.01
Thailand	SET Index	0.401	0.0001	0.3317	0.0001	0.696	0.146	0.036	0.146	0.3964	<0.01
US	SPX Index	0.5678	0.0001	0.5862	0.0001	1.998	0.146	0.022	0.146	0.8998	<0.01
Vietnam	VNINDEX Index	0.5611	0.0001	0.3799	0.0001	0.722	0.146	0.044	0.146	0.8934	<0.01
China	SHCOMP Index	0.2972	0.0001	0.3099	0.0001	0.2967	0.146	0.044	0.146	0.4133	<0.01
New Zealand	NZSE50FG Index	0.8257	0.0001	0.8297	0.0001	2.1517	0.146	0.057	0.146	0.9702	<0.01

Critical values at the 5% significance level.

Table 3. Representation of static volatility spillover among APEC countries

Total Spillover 59.81
	AS51	SPTSX	IPSA	HSI	JCI	NKY	KOSPI	FBMKLCI	MEXBOL	IGBVL	PCOMP	IMOEX	STI	TWSE	SET	SPX	VNINDEX	SHCOMP	NZSE50	FROM
AS51	29.73	9.46	3.44	4.32	2.08	4.39	4.19	1.65	6.16	3.62	1.13	3.04	4.52	3.37	2.04	11.24	0.92	1.18	3.53	70.27
SPTSX	2.08	35.81	5.46	2.59	1.45	1.79	2.18	1.16	9.19	6.60	0.79	4.14	2.89	1.64	1.96	18.01	0.70	0.90	0.65	64.19
IPSA	1.50	7.29	44.71	2.49	2.54	1.21	2.39	1.93	8.29	4.96	1.37	3.58	2.71	2.13	2.30	8.28	0.64	0.88	0.81	55.29
HSI	3.87	5.01	3.22	27.73	3.41	4.26	7.26	2.88	4.61	2.76	1.42	2.99	8.09	5.73	3.53	5.87	0.93	5.36	1.07	72.27
JCI	2.44	4.13	3.79	4.65	40.37	2.24	4.08	4.24	4.05	2.77	3.23	2.39	5.68	3.84	3.98	4.63	0.98	1.38	1.13	59.63
NKY	4.91	6.72	3.36	5.19	2.08	31.63	6.61	1.80	4.73	2.65	1.21	3.08	5.31	4.81	2.40	9.67	0.88	1.37	1.61	68.37
KOSPI	4.32	5.07	3.13	7.77	3.14	6.02	29.47	2.65	4.41	2.45	1.60	2.93	5.97	8.22	3.04	5.78	0.88	1.96	1.22	70.53
FBMKLCI	2.14	4.92	3.70	4.08	4.51	2.02	3.78	39.54	4.61	2.96	2.84	2.60	5.82	3.67	3.95	5.39	1.01	1.28	1.17	60.46
MEXBOL	1.80	10.12	6.69	2.63	1.68	1.34	2.62	1.53	39.86	5.26	1.21	4.02	2.44	1.77	2.03	12.43	0.66	0.99	0.94	60.14
IGBVL	1.60	8.95	5.14	2.35	1.63	1.25	1.82	1.35	6.28	48.35	1.25	3.80	2.58	1.65	1.91	7.14	0.86	1.29	0.78	51.65
PCOMP	1.96	5.17	4.15	2.92	4.44	1.79	3.00	3.33	5.89	3.61	41.97	2.66	3.43	2.66	3.03	6.82	0.88	1.11	1.18	58.03
IMOEX	1.89	6.60	4.14	3.62	2.24	1.92	2.51	1.81	5.59	4.10	1.01	47.56	3.50	2.24	2.67	5.86	0.80	1.10	0.85	52.44
STI	3.90	5.15	3.21	8.26	4.26	4.26	5.76	3.99	4.35	2.89	1.54	2.97	29.61	4.90	4.52	6.46	0.82	1.78	1.36	70.39
TWSE	3.72	4.52	2.99	6.93	3.20	4.71	8.99	3.08	4.23	2.31	1.89	2.52	5.82	31.60	2.92	6.14	0.99	2.15	1.28	68.40
SET	2.23	4.28	3.42	4.91	4.11	2.52	3.98	3.51	3.79	2.66	1.99	2.88	6.02	3.43	42.13	4.27	1.09	1.63	1.13	57.87
SPX	2.07	18.22	6.22	2.02	1.22	1.84	1.94	0.99	11.37	5.24	0.72	3.34	2.54	1.61	1.79	36.54	0.76	0.76	0.82	63.46
VNINDEX	1.55	2.80	1.59	1.88	1.41	1.73	1.90	1.55	2.39	2.24	1.22	1.75	1.85	2.10	1.69	3.57	66.26	1.62	0.88	33.74
SHCOMP	1.94	2.35	1.69	9.14	1.96	1.96	3.34	1.89	1.94	1.95	1.29	1.51	3.23	3.52	1.97	2.41	1.48	55.20	1.21	44.80
NZSE50	6.00	6.33	3.15	2.16	1.44	2.08	2.07	1.42	5.34	3.04	1.39	2.23	2.76	2.12	1.73	9.02	1.02	1.19	45.51	54.49
To Others	49.90	117.11	68.49	77.89	46.79	47.33	68.41	40.76	97.22	62.06	27.12	52.45	75.17	59.42	47.47	133.00	16.29	27.92	21.62	1136.43
Total	79.63	152.92	113.20	105.61	87.16	78.95	97.88	80.30	137.09	110.42	69.09	100.01	104.78	91.02	89.60	169.54	82.56	83.12	67.14	1900
NET	−20.37	52.92	13.20	5.61	−12.84	−21.05	−2.12	−19.70	37.09	10.42	−30.91	0.01	4.78	−8.98	−10.40	69.54	−17.44	−16.88	−32.86	59.81

Notes: 1) % figures, 2) diagonal = own shock impact, 3) ± values = recipient/transmitter of shocks, 4) “Total” row = own + other contributions, 5) “Net” row = Net Spillover per country.

Figure 1. APEC nation’s time -varying gross volatility spillover.

Figure 2. APEC countries transmitters (to others), receiver (from others), and net directional volatility spillover.

Figure 2. (Continued).

Figure 3. Net directional connectedness of the APEC countries.

Figure 4. Dynamic spillover on different values of W indicates the robustness of APECcountries.