Geopolitical risks, investor sentiment and industry stock market volatility in China: Evidence from a quantile regression approach

Peng Guo and Jing Shi

The North American Journal of Economics and Finance, 2024, vol. 72, issue C

Abstract: From an industry perspective, we apply the quantile regression to investigate the impact of investor sentiment (IS) and China’s/U.S. geopolitical risks (GPR) on Chinese stock market volatility. Considering the structural break of the stock market, we find that China’s and U.S. GPR/IS and their interaction effects have no significant impact on China’s stock market volatility at the market level. However, there has an asymmetric dependence between China’s and U.S. GPR/IS and stock market volatility, and the dependence structure is changing. At the industry level, the impact of geopolitical risk on industry stock market volatility is highly heterogeneous, and its significance mostly occurs in the upper and lower tails. Second, China’s and U.S. GPR/IS can exacerbate industry stock market volatility in bullish and bearish markets. In addition, China’s and U.S. GPR/IS and their interaction effects are heterogeneous and asymmetric, and the effects changes with the break point. Finally, compared with China’s GPR, the U.S. GPR has a larger impact on the industry stock market. The interactive effects of the U.S. GPR and IS can influence more industry stock market volatility.

Keywords: Geopolitical risks; Investor sentiment; Industry stock market volatility; Quantile regression (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000640

DOI: 10.1016/j.najef.2024.102139

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