IDEAS home Printed from https://ideas.repec.org/a/taf/recsxx/v23y2020i1p224-234.html
   My bibliography  Save this article

Impact of news-based equity market volatility on international stock markets

Author

Listed:
  • Abdullah Alqahtani
  • Michael J. Wither
  • Zhankui Dong
  • Kimberly R. Goodwin

Abstract

This study examines the long run impacts of equity market volatility on index returns of nine major international stock exchanges in the Western and Asian regions. This study employs the text-based Economic Market Volatility (EMV) index to measure the degree of uncertainty in the U.S. stock market. Using monthly data from December 2001 to August 2018, the estimation results derived using the standard and nonlinear ARDL models deliver several key messages. First, rising U.S. stock market volatility exhibits significant and negative impacts on stock market returns, except for the stock markets of China, Hong Kong, and India whose impacts are negative but insignificant. Second, the use of the nonlinear ARDL model does not show any signs of asymmetry in the relationship between stock market returns and changes in the EMV index, suggesting that the change in the EMV index has symmetric effects on the changes in major stock indices.

Suggested Citation

  • Abdullah Alqahtani & Michael J. Wither & Zhankui Dong & Kimberly R. Goodwin, 2020. "Impact of news-based equity market volatility on international stock markets," Journal of Applied Economics, Taylor & Francis Journals, vol. 23(1), pages 224-234, January.
    • Handle: RePEc:taf:recsxx:v:23:y:2020:i:1:p:224-234
    DOI: 10.1080/15140326.2020.1729571
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15140326.2020.1729571
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15140326.2020.1729571?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hong, Yanran & Wang, Lu & Ye, Xiaoqing & Zhang, Yaojie, 2022. "Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis," Renewable Energy, Elsevier, vol. 196(C), pages 535-546.
    2. Papadamou, Stephanos & Fassas, Athanasios P. & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2023. "Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    3. Georgios Fatouros & Konstantinos Metaxas & John Soldatos & Dimosthenis Kyriazis, 2024. "Can Large Language Models Beat Wall Street? Unveiling the Potential of AI in Stock Selection," Papers 2401.03737, arXiv.org, revised Apr 2024.
    4. SOSA-CASTRO, Miriam, 2022. "Equity Market Volatility Impact On S&P 500 Sector Indexes, 1989-2021," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 22(1), pages 39-60.
    5. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
    6. Muhammad Enamul Haque & Mahmood Osman Imam, 2024. "Does the Bangladesh Equity Market Expose to Disposition Effects Bias under Different Market Conditions?," IJFS, MDPI, vol. 12(3), pages 1-17, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:recsxx:v:23:y:2020:i:1:p:224-234. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/recs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.