Stock Market Co-movements in RCEP Participating Countries

In this paper, we describe the dynamic co -movement of the stock markets of RCEP participating countries over the past ten years. The empirical results of DCC-GARCH model and wavelet analysis indicated that the stock market dynamic co -movement between China and other RCEP countries generally increased over this period. This finding is particularly significant given China's efforts to expedite its financial opening up since 2016. On the other hand, we found that the dynamic co -movement between China and other RCEP countries became significantly more marked during the global financial disruptions that occurred in 2012, 2015, and 2020, further confirming the market contagion hypothesis.