TVP-VAR 기반 아시아 및 오세아니아 주식시장 간 방향성 스필오버 네트워크의 동태적 분석

초록

This study examines the directionality and time-varying characteristics of return spillovers among 12 Asian and Oceanian equity markets. Using approximately 26 years of monthly log-return data, we estimate Kalman-filter-based pairwise time-varying parameter vector autoregressive (TVP-VAR(1)) models and construct directional weighted networks from the resulting cross-spillover coefficients. The systemic role of each market within the network is quantified using the PageRank algorithm, the HITS algorithm, and betweenness centrality. The principal findings are as follows. First, Australia, Malaysia, and Taiwan are identified as consistent net transmitters, whereas the Philippines, Korea, and Thailand emerge as net receivers, revealing a pronounced asymmetry in the regional spillover structure. Second, the Total Spillover Index (TSI) surged during the Global Financial Crisis and the COVID-19 period, but declined markedly after 2022, suggesting a structural weakening of regional connectedness. Third, while Australia served as the largest regional transmitter throughout the 2000s, its role attenuated after 2012, with Malaysia gradually emerging as a substitute, indicating a structural transition in the network. These results provide empirical evidence on the asymmetric structure of financial linkages within the Asian and Oceanian region and offer implications for portfolio diversification strategies and financial stability monitoring.

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