Investor sentiment contagion and network connectedness: Evidence from China and other international stock markets

IF 0.7 4区 经济学 Q3 ECONOMICS
Yandi Liu, Jun Zhang, Na Guo, Jingshan Liu
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引用次数: 0

Abstract

International economic exchanges have become more frequent, and the degree of the mutual influences of investor sentiment in the stock markets of various countries has been increasing. Therefore, the study of cross-country spillover effects of investor sentiment is of great relevance to the analysis of financial market linkage and the diffusion mechanisms between countries. This study examined the directions and levels of investor sentiment spillovers in 10 countries from 2003 to 2020 by constructing aggregate and directional spillover indices and analyzing the static and dynamic characteristics as well as the network structures of the spillover effects. The results revealed that (1) investor sentiment had significant cross-country spillover effects and their intensities were time-varied, with the total sentiment spillover index rising sharply in response to extreme events, such as the subprime mortgage crisis, the European sovereign debt crisis, the United Kingdom's (U.K.) Brexit policy, and the coronavirus pandemic. (2) The spillover effects were impacted by the level of economic and financial development. Overall, developed countries had higher levels of spillover than did developing countries. (3) Countries that were highly correlated with extreme events had stronger spillover effects. For example, the United States and the U.K. were the main net “exporters” of sentiment during the subprime crisis, and Germany became the top “exporter” during the European sovereign debt crisis. Our findings have important implications for policymakers who aim to understand capital markets correlations and promote regulatory coordination across countries.

投资者情绪传染与网络连通性:来自中国和其他国际股市的证据
国际经济交流更加频繁,各国股市投资者情绪的相互影响程度不断提高。因此,研究投资者情绪的跨国溢出效应,对于分析金融市场联动和国与国之间的扩散机制具有重要意义。本研究通过构建总量和方向溢出指数,分析溢出效应的静态和动态特征以及网络结构,考察了2003-2020年10个国家投资者情绪溢出的方向和水平。研究结果显示,(1)投资者情绪具有显著的跨国溢出效应,其强度随时间变化,总情绪溢出指数因极端事件而急剧上升,如次贷危机、欧洲主权债务危机、英国(英国)脱欧政策和冠状病毒大流行。(2) 溢出效应受到经济和金融发展水平的影响。总体而言,发达国家的溢出水平高于发展中国家。(3) 与极端事件高度相关的国家具有更强的溢出效应。例如,美国和英国在次贷危机期间是主要的情绪净“出口国”,德国在欧洲主权债务危机期间成为最大的“出口国。我们的研究结果对旨在了解资本市场相关性并促进各国监管协调的政策制定者具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Manchester School
Manchester School ECONOMICS-
CiteScore
1.80
自引率
9.10%
发文量
37
期刊介绍: The Manchester School was first published more than seventy years ago and has become a distinguished, internationally recognised, general economics journal. The Manchester School publishes high-quality research covering all areas of the economics discipline, although the editors particularly encourage original contributions, or authoritative surveys, in the fields of microeconomics (including industrial organisation and game theory), macroeconomics, econometrics (both theory and applied) and labour economics.
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