Can Chinese stock market volatility forecast US news sentiment?

Wei Guo ()
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Wei Guo: University of Shanghai for Science and Technology

Quality & Quantity: International Journal of Methodology, 2025, vol. 59, issue 5, No 25, 4503-4523

Abstract: Abstract This paper examines the predictive relationship between Chinese stock market volatility and US news sentiment from January 2004 to December 2022, focusing on various time horizons and the impact of significant global events such as the US-China trade war and the COVID-19 pandemic. The study finds that volatility in Chinese markets, particularly in the SSE 50, SZSE 50, and A-shares indices, consistently predicts US news sentiment in the short to medium term, with a significant negative correlation. The results also reveal a shift in the relationship following the US-China trade war, where volatility in B-shares becomes a more significant predictor of US sentiment. Moreover, during the COVID-19 period, the negative relationship between Chinese market volatility and US news sentiment remains significant. This research offers valuable insights into the interconnectedness of Chinese market volatility and US news sentiment.

Keywords: GARCH; Realized volatility; US news sentiment; Chinese indices (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11135-025-02163-1

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