Sentiment and stock market connectedness: Evidence from the U.S. – China trade war

Bissoondoyal‐Bheenick, Emawtee; Do, Hung; Hu, Xiaolu; Zhong, Angel

doi:10.1016/j.irfa.2022.102031

Cited by 24 publications

(4 citation statements)

References 89 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…It is also important to notice that investment styles change with the change in market conditions and shifts in investor sentiments. Bissoondoyal-Bheenic, Do, Hu, & Zhong (2022) witnessed the larger impact of investor sentiment on volatility connectedness during bearish market. During high market volatility, investors adjust their portfolios based on their perception of risk and return potential may shift from growth stocks to value stocks and larger stocks to smaller stocks results in reduce equity markets connectedness globally.…”

Section: Discussionmentioning

confidence: 99%

Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis

Sarwat,

Akhtar

2023

BBE

View full text Add to dashboard Cite

During times of financial turmoil, when traditional assets experience significant volatility, commodity markets provide diversification benefits to investors. The objective is to investigate the factors influencing financial contagion between the United States and emerging Asian equity markets (China and India). The study analyzes the influential impact of the volatility index, gold, oil, and USD index on financial contagion among the markets. The dynamic conditional correlation analysis is utilized to explore the correlations during the US subprime and Covid-19 crises, and quantile regression analysis is conducted at different levels of time-varying correlations. The study's results suggest that financial contagion becomes more pronounced during periods of financial turmoil, and global financial crises contribute to alterations in the dependence structure between financial contagion among equity markets and global macroeconomic risk factors. The effect of financial contagion can be abridged through altering portfolio reallocation strategies according to investors’ risk appetite during high market volatility.

show abstract

Section: Discussionmentioning

confidence: 99%

Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis

Sarwat,

Akhtar

2023

BBE

View full text Add to dashboard Cite

show abstract

“…Despite the growing importance of Asian markets in the global financial system, the regional interconnectedness and the channels of return spillover transmissions remain understudied. The prevailing number of studies investigate volatility spillovers with the inclusion of China only (Bissoondoyal‐Bheenick et al, 2022; Huo & Ahmed, 2017; Li, 2007; Lin et al, 2009; Moon & Yu, 2010; Wang et al, 2016; Zhou et al, 2012). Singh et al (2010) investigate price and volatility spillovers across North American, European and Asian stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets

Mateus,

Bagirov,

Mateus

2023

Int Rev Finance

View full text Add to dashboard Cite

In this article, we investigate the pattern and dynamics of return and volatility connectedness across East and Southeast Asian markets (referred to as the ASEAN5 + 5 group) by utilizing forecast‐error variance decompositions in a generalized VAR framework in conjunction with the Bai‐Perron procedure to control for structural breaks. Our analysis of the dynamics of return spillovers in static and time‐varying settings identifies that the stock markets of Singapore, Hong Kong and South Korea act as constant and largest net transmitters of shocks throughout the period from January 2003 to July 2021. The Chinese stock market is found to have the lowest return connectedness with other regional markets, which could be due to the local foreign ownership regulations. Visualization of the net pairwise return spillover network shows that Singapore is the sole net transmitter of shocks to all other markets in the ASEAN5 + 5 group, whereas, China, despite its market size is the sole net recipient. Two other markets in the regional group are identified as the net receivers, Japan and the Philippines, with the former becoming a net recipient from 2007. Our analysis of structural breaks shows that return spillovers across the markets intensify during periods of economic turmoil, financial shocks and the health crisis (COVID‐19), however, return to the pre‐shock levels during stable market periods. Further analysis of time‐varying patterns revealed that the dynamic connectedness across the region is not symmetrical and the influence of negative returns is more pronounced. The investigation of volatility spillovers shows no substantial differences. The stock markets generally retain their roles. Importantly, the time‐varying volatility connectedness exhibits similar patterns and tends to reach peak levels during turbulent episodes.

show abstract

“…Она привела к негативным экономическим потрясениям и оказала прямое воздействие на сектора, экспортирующие и импортирующие продукцию и сырьё стран-партнёров. Последствия торговой войны по цепочкам добавленной стоимости распространяются и на другие страны и сектора экономики, что приводит к большим потерям для всей мировой экономики (Bissoondoyal-Bheenick et al 2022).…”

Section: результаты исследованияunclassified

Comparative Assessment of Global Value Chains' Influence on National Economies

Goncharova,

Shelomentsev,

Masyuk

2023

Vestnik MGIMO-universiteta

View full text Add to dashboard Cite

In recent decades, a predominant trend in the transformation of national economies worldwide has been the extensive establishment of global value chains and the increased activities of transnational corporations (TNCs). Despite the scale of these phenomena, they have not received adequate scholarly attention, both at the level of individual countries and on a global scale. This paper presents the results of a comprehensive analysis that combines theoretical approaches with empirical investigations of the interplay between the formation and vigorous expansion of global value chains and the dynamics of national economic transformation worldwide. This relationship is examined in the context of foreign multinational corporations operating in sectors such as chemistry and pharmaceuticals, electronics, electrical equipment, and the automotive industry.To achieve the objectives of this study, a range of complementary research methods were employed, including descriptive analysis, comparative analysis, generalization and grouping techniques, and cartographic analysis. The study yields several key findings:Firstly, a global trend of progressive reduction in the share of domestic producers within the industries under consideration has been observed. This trend is most conspicuous in the countries of the former socialist bloc in Central and Eastern Europe, including Poland, Bulgaria, the Czech Republic, Lithuania, Latvia, Estonia, and Romania. These countries previously maintained domestic production levels exceeding 50% of the total volume for the specific product types.Secondly, the field of automobile production exhibits the highest proportion of foreign companies contributing to the total volume of products manufactured. In 33 out of the 58 countries analyzed, foreign multinational corporations account for more than 50% of production. Thirdly, a selection of countries in Western Europe, the Middle East, and the Asia-Pacific region—such as Germany, Italy, France, Israel, the USA, China, Japan, the Russian Federation, India, and Korea—play a substantial role in the development of global value chains through the active expansion of their national TNCs. International companies from these countries are progressively shaping a global socio-economic framework.Lastly, recent years have seen the emergence of a new stage in the evolution of global value chains, prompted by exceptional factors such as the COVID-19 pandemic, the trade conflict between China and the United States, and the conflict in Ukraine. This stage necessitates a profound reconsideration of the strategies employed by current participants in global chains, driven by the imperative of preserving their sustainability.

show abstract

Sentiment and stock market connectedness: Evidence from the U.S. – China trade war

Cited by 24 publications

References 89 publications

Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis

Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis

Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets

Comparative Assessment of Global Value Chains' Influence on National Economies

Contact Info

Product

Resources

About