scholarly journals Dynamic Spillover Effects of Investor Sentiment and Return between China and the United States

2021 ◽  
Vol 2021 ◽  
pp. 1-19
Author(s):  
Ping Zhang ◽  
Lin Zhang ◽  
Zhenghui Meng ◽  
Tewei Wang
Keyword(s):  
United States ◽  
Stock Returns ◽  
Stock Prices ◽  
Investor Sentiment ◽  
Spillover Effects ◽  
Listed Companies ◽  
The United States ◽  
Relative Price ◽  
Market Linkage ◽  
The Difference

As the two largest economies in the world, the investor sentiment and stock return of China and the United States are the focus of global attention. In this paper, we study the dynamic spillover effects of investor sentiment and return between China and the United States. First, we use the relative price differences of 9 dual-listed companies in China and the United States simultaneously to verify whether investor sentiment affects stock returns. We find a significant positive correlation between the relative price difference of dual-listed companies and the difference of investor sentiment, indicating that the investor sentiment index indeed affects stock prices. Next, we construct the TVP-VAR model to study the dynamic spillover effects of investor sentiment and the return between China and the United States. Through the time-varying impulse response, we find investor sentiment has a significant dynamic impact on returns. Therefore, investment sentiment contagion and stock market linkage between China and the United States are obvious. In addition, we conduct various robust tests, and all results are consistent.

scholarly journals Unknown Unknowns: Uncertainty About Risk and Stock Returns

2018 ◽  
Vol 53 (4) ◽  
pp. 1615-1651 ◽  
Author(s):  
Guido Baltussen ◽  
Sjoerd van Bekkum ◽  
Bart van der Grient
Keyword(s):  
United States ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
The United States ◽  
Pricing Mechanism ◽  
European Stock Markets ◽  
Low Uncertainty ◽  
High Uncertainty

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices.

scholarly journals Macroeconomic News and Stock Returns in the United States and Germany

2006 ◽  
Vol 7 (2) ◽  
pp. 189-210 ◽  
Author(s):  
Norbert Funke ◽  
Akimi Matsuda
Keyword(s):  
United States ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
The United States ◽  
Good News ◽  
Macroeconomic News ◽  
Hourly Data ◽  
Different Types ◽  
The Impact

Abstract Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results.

scholarly journals The effects from the United States and Japan to emerging stock markets in Asia and Vietnam

2020 ◽  
Author(s):  
AISDL
Keyword(s):  
United States ◽  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The United States ◽  
The Philippines ◽  
Asian Emerging Markets ◽  
The U.S

The subprime mortgage crisis in the United States (U.S.) in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

scholarly journals The effects from the United States and Japan to emerging stock markets in Asia and Vietnam

2020 ◽  
Vol 3 (4) ◽  
pp. 438-448
Author(s):  
Nguyen Thi Ngan ◽  
Nguyen Thi Diem Hien ◽  
Hoang Trung Nghia
Keyword(s):  
United States ◽  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The United States ◽  
The Philippines ◽  
Asian Emerging Markets ◽  
The U.S

The subprime mortgage crisis in the United States (U.S.) in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

scholarly journals The effects from the United States and Japan to emerging stock markets in Asia and Vietnam

2020 ◽  
Author(s):  
Nguyen Thi Ngan
Keyword(s):  
United States ◽  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The United States ◽  
The Philippines ◽  
Asian Emerging Markets ◽  
The U.S

The subprime mortgage crisis in the United States (U.S.) in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

The Nexus Between Johannesburg Stock Exchange and the United States Unemployment Rate Announcement: An Impulse Response Analysis

2018 ◽  
Vol 10 (3(J)) ◽  
pp. 160-168
Author(s):  
Misheck Mutize ◽  
Victor Virimai Mugobo
Keyword(s):  
United States ◽  
South African ◽  
Impulse Response ◽  
Unemployment Rate ◽  
Stock Prices ◽  
Stock Exchange ◽  
The United States ◽  
Response Analysis ◽  
Johannesburg Stock Exchange ◽  
The Us

The study explores the relationship between the unemployment rate in the United States and South Africa’s stock prices from the beginning of 2013 to the last day 2017. The objective of this paper is to examine the impact of the US unemployment rate announcement on the South African financial market. Results of Impulse Response analysis show that there is a very minimal impact from the US unemployment announcement to South Africa’s stock prices which disappears within two days of the announcement. In addition, the Johannesburg stock exchange index marginally responds to own shocks, which marginally fades away within two days. These findings imply that the changes in the US employment policies have a direct ripple effect on the South African macroeconomic environment, its investing public sentiments and corporate confidence on the future prospects of businesses.

Money and stock prices in the United States

1993 ◽  
Vol 3 (1) ◽  
pp. 51-54 ◽  
Author(s):  
Apostolos Serletis
Keyword(s):  
United States ◽  
Stock Prices ◽  
The United States

scholarly journals The Effect of Massachusetts' Health Reform on Employer-Sponsored Insurance Premiums

2010 ◽  
Vol 13 (2) ◽  
Author(s):  
John F Cogan ◽  
R. Glenn Hubbard ◽  
Daniel Kessler
Keyword(s):  
United States ◽  
Health Reform ◽  
Medical Expenditure Panel Survey ◽  
Private Insurance ◽  
The United States ◽  
Medical Expenditure ◽  
Insurance Premiums ◽  
Reform Plan ◽  
The Difference ◽  
The Cost

In this paper, we use publicly available data from the Medical Expenditure Panel Survey - Insurance Component (MEPS-IC) to investigate the effect of Massachusetts' health reform plan on employer-sponsored insurance premiums. We tabulate premium growth for private-sector employers in Massachusetts and the United States as a whole for 2004 - 2008. We estimate the effect of the plan as the difference in premium growth between Massachusetts and the United States between 2006 and 2008—that is, before versus after the plan—over and above the difference in premium growth for 2004 to 2006. We find that health reform in Massachusetts increased single-coverage employer-sponsored insurance premiums by about 6 percent, or $262. Although our research design has important limitations, it does suggest that policy makers should be concerned about the consequences of health reform for the cost of private insurance.

scholarly journals La contrebande des produits du tabac au Canada entre 1985 et 1994 et le cas particulier du Québec

Criminologie ◽  
2005 ◽  
Vol 30 (1) ◽  
pp. 53-72 ◽  
Author(s):  
Marc Alain
Keyword(s):  
United States ◽  
Driving Force ◽  
The United States ◽  
Eastern Canada ◽  
Mass Consumption ◽  
Cigarette Taxes ◽  
Geographical Factors ◽  
The World ◽  
The Difference

The professional smuggling of mass consumption products develops when demand for a product is not adequately fulfilled by the legitimate market. The difficulties encountered in supplying are, in most contemporary cases, caused by real rarity of the desired product. For other cases, however, the rarity is largely virtual in that government taxes aimed at the product in question lead to increasing the product's price to a prohibitive end. This was the case with cigarettes in Canada between 1985 and 1994. Before both, the federal and provincial, governments decided to drastically decrease cigarette taxes in February 1994, the price for a pack of cigarettes was five to six times higher than the same product in the United States. This article begins with a brief review of the contribution made by economists in regard to contemporary smuggling. Focus will be aimed at common characteristics of the smuggling phenomenon across the world. Elements which are more particular to the Canadian smuggling situation will be identified as well. While the difference in the price of cigarettes between Canada and the United States would seem to be the undeniable driving force behind the development of smuggling activities at the countries ' border, one key question remains unexplained. Why was the volume of contraband unequally distributed across Canada even though the price of cigarettes remained largely consistent throughout all provinces? The level of organization of smuggling networks was much higher in Eastern Canada, and particularly in Quebec, than it was in the western provinces. It is argued that the reasons for this are not only due to price, but to a series of political, historical, and geographical factors which allowed cigarette smugglers to function better in Quebec than in the rest of the country.

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