This paper proposes a probit approach to measure and forecast extreme downside risks in Asian Pacific markets given information on extreme negative shocks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of market returns falling below left-tail Value at Risk in a Markov switching framework. The empirical findings are consistent with the following notions. First, extreme downside movements of the S&P 500 and Nikkei 225 are significantly predictive for extreme downside movements in all of the investigated Asian-Pacific markets. Second, the majority of Asian-Pacific markets become more sensitive to the Japan's extreme negative shocks when the Japanese market switches into turbulent periods, whereas the U.S. spillover effect is enhanced only on Taiwan during the U.S. turbulent periods. Third, mainland China is overall the least affected by the extreme negative shocks in the United States and Japan, while Australia is the most sensitive to the United States and Singapore is the most vulnerable to Japan.

In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock markets has been the subject of study since 1990s where researchers have studied the nature of time-varying correlations between international stock markets. Extant literature substantiates the fact that volatility spillover between international stock markets happens at all times and that developed nations, particularly the US, is the major source of spillover. However, studies involving emerging markets, specifically in the Asia-Pacific region is scarce. Moreover, a clear understanding regarding the pattern of volatility transmission across international stock markets is lacking. The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a span of 20 years, which include both crises (i.e. contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follow a pattern. Our study contributes to the literature in two ways: (1) It provides a historical map of volatility transmission in the Asia-Pacific region; and (2) this study identifies the path and pattern of volatility spillover across Asia-Pacific stock markets.

This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the U.S and the information leadership of the U.S. and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the U.S. and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the U.S. were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific.

A summary of how stock markets work for those looking to invest. This book is a practical guide to Asia’s stock markets for a general audience. It is for people who do not know much about financial markets but, for whatever reason, would like to learn more. They could be seasoned expatriate pilots, academics and other professionals, newcomers in the region as well as students or young men and women about to start in the finance industry. The idea is to cut through the alphabet soup of industry jargon to provide a clear understanding of how these markets work, how they differ from each other in size and depth, what unique features each stock market has and what drives all the different sectors in these markets – consumers, the internet, banks and technology. The book includes helpful history lessons and personal anecdotes drawn from the author’s 30 years in the world of Asian investments.

This paper provides comprehensive evidence on the spillover effects of the U.S. Fed's and the European Central Bank (ECB)'s target interest rate news on the market returns and return volatilities of twelve stock markets in the Asia-Pacific over the period 1999-2006. The news spillover effects on the returns are generally consistent with the literature where a majority of stock markets shows significant negative returns in response to unexpected rate rises. Whilst the results of the speed of adjustment for the Fed's news are mixed across the markets, the ECB news was absorbed slowly, in general. The return volatilities were higher in response to the interest rate news from both sources. In addition, both the Fed and the ECB news elicited tardy or persisting volatility responses. These findings have important implications for all levels of market participants in the Asia Pacific stock markets.

This paper investigates the nature of information leadership of the U.S. and Japan in the advanced Asia-Pacific stock markets. Instead of just relying on return and return volatility spillovers from major markets, specific and disaggregated news events are also utilized. In particular, the aim is to examine the nature of spillover effects of scheduled announcements of the U.S. and Japanese macroeconomic variables in the advanced Asia-Pacific stock markets of Australia, Hong Kong and Singapore for the period 2 January 1991 to 31 May 1999. The investigation reveals that both U.S. and Japanese announcement news elicit significant first and second moment influences on the returns of the other markets, in general, and that there is a complex array of significant market responses to various news announcements. There is also strong evidence of markets responding differently to bad news announcements compared to overall news (including both good and bad news) announcements which indicate that the information content of each economic announcement is a source of tradable information rather than the act of releasing economic figures. Thus, this paper contributes to the literature by shedding light on the important drivers of the documented information leadership of the U.S. and Japanese stock markets.