US and European Stock Markets in Response to Exogenous Shocks: Cross-Regional Analysis of Dynamic Networks During the COVID-19 Pandemic

IF 2.3 Q3 BUSINESS Global Business Review Pub Date : 2023-10-04 DOI:10.1177/09721509231158867
Jan-Hendrik Schuenemann, Natallia Katenka, Natalia Ribberink
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Abstract

This study aims to analyse the impact of force majeure events or exogenous shocks, characterized by a high level of uncertainty, on the US and European stock market behaviour through cross-regional and inter-industrial comparisons. Based on the sample of 832 largest stock-listed companies publicly traded in both regions, the authors investigate whether specific regional and industrial differences in the stock market reaction to exogenous shocks—as exemplified by the ongoing COVID-19 pandemic—and their recovery paths to be determined. The novelty of the research conducted by the authors is underpinned by the application of a dynamic network analysis method—supported by the exponential random graph modelling—for a data sample of publicly traded companies, encompassing major players and industrial leaders in both regions. Furthermore, the methods are applied quarterly for an identical set of industries in cross-market comparison, within a time span of periods before, during and beyond the exogenous shock. The results reveal significant differences in the reaction of US and European stock markets to exogenous shocks, despite globally integrated financial markets. The connectivity of the largest listed companies on the US market is higher than the European ones. Thus, publicly traded companies in the United States are more likely to be closely connected to their industry peers. As demonstrated by a cross-market comparison of the European and US stock market network configuration, the US network reveals higher probabilities of intra-industrial connections of its market participants. In contrast, the European stock market exhibits fewer connections and a less dense network of market participants in times of uncertainty or exogenous shocks. Except for the European financial industry, which behaves similarly to its US counterpart, the overall interconnectedness of European companies is weaker within the uncertainty-related timespan. The latest could be partially explained by numerous national regulations being implemented at a country level, which are partly deviating from the EU single-market policies. In contrast to a relatively homogeneous setting of the US market, a low level of interconnectedness of publicly traded companies in Europe could be further argued by the application of non-harmonized industrial policies, with the latest being expanded during the ongoing crisis in selected European locations. This difference could also be explained by the absence of a mutual strategy for alleviating the effects of the COVID-19 pandemic in Europe. The obtained results could be valuable for academics, conducting similar thematic research; for portfolio investors, and policymakers in forecasting, reacting and assessing stock market behaviour overall—and at the level of industrial sectors in particular—in response to events characterized as force majeure, exogenous shocks or periods of uncertainty.
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美国和欧洲股市对外源冲击的反应:新冠肺炎大流行期间动态网络的跨区域分析
本研究旨在通过跨地区和跨行业比较,分析具有高度不确定性的不可抗力事件或外生冲击对美国和欧洲股市行为的影响。基于在这两个地区上市的832家最大的股票上市公司的样本,作者调查了股票市场对外部冲击的反应是否存在特定的区域和行业差异(例如正在进行的COVID-19大流行),以及它们的恢复路径是否需要确定。作者进行的研究的新颖性是基于动态网络分析方法的应用,该方法由指数随机图模型支持,用于公开交易公司的数据样本,包括两个地区的主要参与者和行业领导者。此外,这些方法每季度对同一组行业进行跨市场比较,在外生冲击之前、期间和之后的时间跨度内进行比较。结果显示,尽管全球金融市场一体化,但美国和欧洲股市对外部冲击的反应存在显著差异。美国市场最大上市公司的连通性高于欧洲市场。因此,美国的上市公司更有可能与其行业同行保持密切联系。通过对欧洲和美国股票市场网络配置的跨市场比较,美国网络显示出其市场参与者的产业内连接概率更高。相比之下,在不确定性或外部冲击时期,欧洲股市表现出较少的联系,市场参与者的网络密度也较低。除了与美国金融业表现相似的欧洲金融业外,在与不确定性相关的时间跨度内,欧洲企业的整体互联性较弱。最新的部分原因可能是在国家层面上实施的众多国家法规,这些法规在一定程度上偏离了欧盟的单一市场政策。与美国市场相对同质化的环境相比,欧洲上市公司的相互联系程度较低,这可以通过不协调的产业政策的应用来进一步证明,最近在欧洲一些地区的危机期间,这种政策得到了扩大。这种差异也可以解释为缺乏缓解COVID-19大流行在欧洲影响的共同战略。所获得的结果可能对进行类似专题研究的学术界有价值;为证券投资者和政策制定者预测、反应和评估股票市场整体行为,特别是在工业部门层面,以应对不可抗力、外生冲击或不确定时期为特征的事件。
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来源期刊
CiteScore
7.10
自引率
12.50%
发文量
107
期刊介绍: Global Business Review is designed to be a forum for the wider dissemination of current management and business practice and research drawn from around the globe but with an emphasis on Asian and Indian perspectives. An important feature is its cross-cultural and comparative approach. Multidisciplinary in nature and with a strong practical orientation, this refereed journal publishes surveys relating to and report significant developments in management practice drawn from business/commerce, the public and the private sector, and non-profit organisations. The journal also publishes articles which provide practical insights on doing business in India/Asia from local and global and macro and micro perspectives.
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