Dynamic spanning trees in stock market networks: The case of Asia-Pacific

•We propose a new procedure called Dynamic Spanning Trees (DST).•Stock market inter-connectedness in the Asia-Pacific region is analyzed.•The DST significantly shrinks over time.•Hong Kong is found to be the key financial market.•DST has a significantly increased stability in the last few years.

This article proposes a new procedure to evaluate Asia Pacific stock market interconnections using a dynamic setting. Dynamic spanning trees (DST) are constructed using an ARMA–FIEGARCH–cDCC process. The main results show that: 1. the DST significantly shrinks over time; 2. Hong Kong is found to be the key financial market; 3. the DST has a significantly increased stability in the last few years; 4. the removal of the key player has two effects: there is no clear key market any longer and the stability of the DST significantly decreases. These results are important for the design of policies that help develop stock markets and for academics and practitioners.