Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy
This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of th...
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| Format: | Article |
| Language: | English |
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MDPI AG
2025-01-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/27/1/81 |
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| author | Yijiang Zou Qinghua Chen Jihui Han Mingzhong Xiao |
| author_facet | Yijiang Zou Qinghua Chen Jihui Han Mingzhong Xiao |
| author_sort | Yijiang Zou |
| collection | DOAJ |
| description | This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of the sampled countries. The results indicate that the signing of the RCEP has strengthened the interconnectedness of member countries’ stock markets, with an overall upward trend in volatility spillover effects, which become even more pronounced during periods of financial turbulence. Within the structure of RCEP member stock markets, China is identified as a net risk receiver, while countries like Japan and South Korea act as net risk spillover contributors. This highlights the current “fragility” of China’s stock market, making it susceptible to risk shocks from the stock markets of economically developed RCEP member countries. This analysis suggests that significant changes in bidirectional risk spillover relationships between China’s stock market and those of other RCEP members coincided with the signing and implementation of the RCEP agreement. |
| format | Article |
| id | doaj-art-89b11af851a34e2c8bf6787ab2af6e13 |
| institution | Kabale University |
| issn | 1099-4300 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj-art-89b11af851a34e2c8bf6787ab2af6e132025-01-24T13:31:56ZengMDPI AGEntropy1099-43002025-01-012718110.3390/e27010081Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer EntropyYijiang Zou0Qinghua Chen1Jihui Han2Mingzhong Xiao3School of Economics, Anyang Normal University, Anyang 455008, ChinaSchool of Systems Science, Beijing Normal University, Beijing 100875, ChinaSchool of Computer Science and Technology, Zhengzhou University of Light Industry, Zhengzhou 450001, ChinaSchool of Artificial Intelligence, Beijing Normal University, Beijing 100875, ChinaThis paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility spillover effects among the stock markets of the sampled countries. The results indicate that the signing of the RCEP has strengthened the interconnectedness of member countries’ stock markets, with an overall upward trend in volatility spillover effects, which become even more pronounced during periods of financial turbulence. Within the structure of RCEP member stock markets, China is identified as a net risk receiver, while countries like Japan and South Korea act as net risk spillover contributors. This highlights the current “fragility” of China’s stock market, making it susceptible to risk shocks from the stock markets of economically developed RCEP member countries. This analysis suggests that significant changes in bidirectional risk spillover relationships between China’s stock market and those of other RCEP members coincided with the signing and implementation of the RCEP agreement.https://www.mdpi.com/1099-4300/27/1/81RCEP stock marketsrisk spillover effectTVP-VAR modeltransfer entropy |
| spellingShingle | Yijiang Zou Qinghua Chen Jihui Han Mingzhong Xiao Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy Entropy RCEP stock markets risk spillover effect TVP-VAR model transfer entropy |
| title | Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy |
| title_full | Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy |
| title_fullStr | Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy |
| title_full_unstemmed | Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy |
| title_short | Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy |
| title_sort | measuring the risk spillover effect of rcep stock markets evidence from the tvp var model and transfer entropy |
| topic | RCEP stock markets risk spillover effect TVP-VAR model transfer entropy |
| url | https://www.mdpi.com/1099-4300/27/1/81 |
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