Proceedings of the 5th Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA-5 2020)

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

Authors
Zaskia Ayunda Lukietta, Buddi Wibowo
Corresponding Author
Zaskia Ayunda Lukietta
Available Online 27 November 2020.
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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Volume Title
Proceedings of the 5th Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA-5 2020)
Series
Advances in Economics, Business and Management Research
Publication Date
27 November 2020
ISBN
978-94-6239-280-9
ISSN
2352-5428
DOI
10.2991/aebmr.k.201126.055How to use a DOI?
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/).

Cite this article

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  -