Stock market trading volumes and economic uncertainty dependence: before and during Sino-U.S. trade friction

Abstract

This article mainly studies the interaction between the economic uncertainty and stock market trading volumes changes before and during Sino-U.S. trade friction using multifractal detrended fluctuation analysis (M.F.-D.F.A.) and multifractal detrended crosscorrelation analysis (M.F.-D.C.C.A.). Our research aims to reveal whether the economic uncertainty increased by Sino-U.S. trade friction affects stock market trading volume more susceptible, as well as how policymaker strengthen risk management and maintain financial stability. The results show that the dynamic volatility linkages between economic uncertainty and stock market trading volumes changes are multifractal, and the cross-correlation of volatility linkages are anti-persistent. Through the rolling-windows analysis, we also find that the economic uncertainty and trading volumes are anti-persistent dynamic cross-correlated. This means that while economic uncertainty increases, trading volume decreases. Besides, Sino-U.S. trade friction has impact on the cross-correlated behaviour significantly, suggesting that stock markets' risks are relatively large and trading volumes changes are more susceptible by economic uncertainty during Sino-U.S. trade friction in the U.S. Our study complements existing literature about the stock markets trading volumes and economic uncertainty dependence relationship by multifractal theory's methods. The overall findings imply that the increased economic uncertainty caused by Sino-U.S. trade friction exacerbates financial risks, which are useful for policymakers and investors.

Unveil the unseen: Exploit information hidden in noise

“…One of these areas is financial markets, where higher uncertainty in predictions of future stock price movement leads to investors being less likely to buy or sell it, i.e. to decrease in its trading volume [70]. Another example is cancer, which is known to cause genetic chaos [71].…”

Unveil the unseen: Exploit information hidden in noise

“…One of these areas is financial markets, where higher uncertainty in predictions of future stock price movement leads to investors being less likely to buy or sell it, i.e. to decrease in its trading volume [47]. Another example is cancer, which is known to cause genetic chaos [48].…”

Pengaruh Covid-19 Terhadap Return Saham Pada Perusahaan Consumer Goods

“…Berdasarkan hasil penelitian pertama menunjukkan variabel covid-19 memiliki pengaruh negatif pada return. Penelitian ini sesuai dengan penelitian sebelumnya (Nguyen, et al, 2021), (Anh dan Gan, 2020), (Al-Awadhi, et al, 2020 dan (Cai, et al, 2020). Pertambahan kasus harian covid-19 yang terkonfirmasi positif terus bertambah setiap harinya, sehingga diikuti penurunan harga saham.…”

“…Perubahan harga saham yang dipengaruhi kapitalisasi pasar juga berhubungan dengan faktor lain yaitu volume perdagangan atau trading volume yang merupakan jumlah transaksi yang telah dilakukan pada perusahaan yang bersangkutan. Namun pada era pandemi ini terjadi ketidakstabilan pada volume perdagangan diperusahaanperusahaan, ketidakstabilan tersebut dapat mempengaruhi votatilitas harga yang semakin naik di tahuntahun berikutnya (Cai, Tao & Yan, 2020).…”