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

Emawtee Bissoondoyal-Bheenick, Hung Do, Xiaolu Hu and Angel Zhong

International Review of Financial Analysis, 2022, vol. 80, issue C

Abstract: We assess the impact of monthly and daily investor sentiment on stock market return and volatility connectedness during the U.S.-China trade war period. Our analyses focus on the connectedness between the two economies and their major trading partners. We also investigate the asymmetric impact of sentiment on volatility connectedness by exploring the upside and downside markets separately. We consistently document a negative relationship between investor sentiment and stock market connectedness for both return and volatility. We further confirm that investor sentiment exerts a larger impact on volatility connectedness in the downside market compared to the upside market.

Keywords: Investor sentiment; Trade war; Spillover; Volatility connectedness; Return connectedness (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000114

DOI: 10.1016/j.irfa.2022.102031

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