Analysis of Asian Stock Market Spillover Effects Using Information Economy

DOI

10.2991/978-94-6463-030-5_151How to use a DOI?

Keywords

DY Overflow Index; Stock Yield; EPU; GPR

Abstract

The increase in uncertainty risks and complexity of the international environment have affected the normal order of the Asian economic environment and have a impact on the economic development of Asian countries. Under the general trend of information technology development, the role of information technology in visualizing economic development has also become more prominent. Stock market quotations are an important reference to reflect the real-time economic environment. The DY spillover index given in R language is used to analyze the geopolitical risks, economic policy uncertainties and spillover effects on the stock markets of major Asian economies through information integration of data, text and graphs, which is conducive to the promotion of harmonious political and economic development among Asian countries. Results showed that first, SSE Composite Index, geopolitical risk and economic policy uncertainty are the receivers of risk spillover, while Nikkei 255, Korea Composite Index and Singapore DBS Group Holdings are the transmitters of risk spillover. Second, the spillover effect between the variables is asymmetric, with significant small peaks in 2015 and 2020. Third, the total spillover effect is greater than zero, and the risk spillover effect increases significantly at the “stock market crash” in 2015 and the COVID-19 epidemic in 2020.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Rong Li
AU  - Hong Chen
AU  - Shilei Xiang
PY  - 2022
DA  - 2022/12/20
TI  - Analysis of Asian Stock Market Spillover Effects Using Information Economy
BT  - Proceedings of the 2022 International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2022)
PB  - Atlantis Press
SP  - 1509
EP  - 1518
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-030-5_151
DO  - 10.2991/978-94-6463-030-5_151
ID  - Li2022
ER  -