The Short-Term Fear Effects for Taiwan’s Equity Market from Bad News Concerning Sino-U.S. Trade Friction

• 발행기관: 한국유통과학회
• 저자명: Shu Ya YANG Hsiu Hsu LIN Ying Sing LIU
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 127~137쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

Mainland China area has been a long-term, major trade rival and partner of Taiwan, accounting for more than 40% of Taiwan’s total annual trade exports, and so Sino-US trade friction is expected to have a significant impact on Taiwan’s economy in the future. This study focuses on major bad news of Sino-US trade frictions and how it generates short-term shocks for Taiwan’s equity market and fear sentiment. It further explores the mutual interpretation relationship between price changes such as VIX, Taiwan’s stock market index, and the VIX ETF to identify which factors have information leadership as leading indicators. The study period covers 750 trading days from 2017/1/3 to 2020/1/31. This study finds that, when a policy news is announced, the stock market index falls significantly, the change in the trading price (net value) of the VIX ETF rises significantly, and the overprice rate significantly drops, but VIX does not, showing that fear sentiment exists in the Taiwan’s market. The net value of the VIX ETF shows an information advantage as a leading indicator. This study suggests that, when the world’s two largest economies clash over trade, the impact on Taiwan’s equity market is inevitable, and that short-term fear effects will arise.

목차

1. Introduction

2. Data and Empirical Methodologies

3. Empirical Results

4. Conclusions

References

키워드

Sino-US Trade Friction Fear Sentiments Shocks of the Bad News VIX ETF