Can international supply chain induce a return premium? Evidence from U.S. leading high-technology firms and Taiwan stock market

Li-Chuan Tsai, Ruhui Zhang and Cuifang Zhao

Finance Research Letters, 2020, vol. 32, issue C

Abstract: This study aims to explore relationships between return linkages on international supply chain, idiosyncratic volatility and abnormal returns in local markets. Empirically, focusing on the seven top U.S. high-technology firms and local market of their Taiwanese suppliers, we find significant daily return spillovers from U.S. stocks to the suppliers, electronic industry indices, market index, and non-electronic index in Taiwan, possibly resulting from fundamentals connections or investor sentiments diffusion. Furthermore, stocks strongly sensitive to the U.S. stocks, have high idiosyncratic volatility and a return premium. Moreover, we provide an external sensitivity factor for asset pricing in Taiwan.

Keywords: Supply chain; Stock return spillover effects; Investor sentiment spillover effects; Return premium (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306330

DOI: 10.1016/j.frl.2018.12.036

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