Spatial Spillover Effect of Positive Feedback Trading in Stock Markets： Based on Econometric Test Under the Shock of COVID-19 Pandemic

doi:10.12068/j.issn.1005-3026.2024.03.018

Abstract

Abstract:

Based on the spatial autocorrelation positive feedback trading model， the positive feedback trading was tested in the international stock markets around the outbreak of COVID?19 pandemic. The results showed that the positive feedback trading in the international stock markets enhanced significantly with spatial correlation after the outbreak of COVID?19 pandemic. Although the anti‐crisis regulatory measures once reversed the decline of stock markets， they also strengthened the irrational extrapolation expectations of investors and aggravated the space spillover effect of positive feedback trading in the stock markets. Therefore， facing the persistence of COVID?19 pandemic， the regulatory authorities should take better account of anti?crisis regulatory measures， which may affect investors’ psychological accounts and extrapolative expectations. Moreover， under the shock of COVID?19 pandemic， effective measures should be implemented to prevent the risk linkage due to the spatial spillover of positive feedback trading in the stock markets.

Key words: stock market, extrapolative expectation, positive feedback trading, COVID?19 pandemic, spatial spillover effect

CLC Number:

F 830.91

Shu-xi TIAN, Xiu-yu DING, Jian WANG. Spatial Spillover Effect of Positive Feedback Trading in Stock Markets： Based on Econometric Test Under the Shock of COVID-19 Pandemic[J]. Journal of Northeastern University(Natural Science), 2024, 45(3): 449-456.

Figures/Tables 6

Fig.1 Trend of representative stock indices in relevant countries

Table 1 Standard deviation of representative stock indices in relevant countries

股票指数	CSI300	Nikkei225	KOSPI200	Sensex30	RTS50	ISE100	SP500	SPTSX60
疫情前	306.4	1129.03	191.1	123.11	38.7	2035.65	2730.86	84.14
疫情期	492.81	3116.97	606.65	241.52	114.46	7862.71	9932.62	451.42
股票指数	IPC34	Bovespa74	CAC40	DAX30	FTSE100	IBEX35	TOP40	ASX20
疫情前	13029	678.99	238.89	179.46	545.93	268.53	3289.87	367.63
疫情期	12858.23	1632.71	627.04	446.83	846.18	848.58	6615.76	678.45

Table 2 Skewness of representative stock indices in relevant countries

股票指数	CSI300	Nikkei225	KOSPI200	Sensex30	RTS50	ISE100	SP500	SPTSX60
疫情前	-0.7431	-0.1977	0.3218	0.7642	0.3188	-0.7128	0.0073	0.4178
疫情期	-0.3262	-0.7278	-0.3347	0.1374	-0.2086	-0.2871	-0.4012	-0.3433
股票指数	IPC34	Bovespa74	CAC40	DAX30	FTSE100	IBEX35	TOP40	ASX20
疫情前	0.2154	-0.5535	-0.5655	0.0437	0.3216	0.0232	0.2423	0.3529
疫情期	-0.7497	-0.5139	-0.3337	-0.3294	-0.6467	-0.2980	-0.2662	-0.6581

Table 3 Econometric test of positive feedback trading according to spatial geographical correlation

时间	$ρ$	$E p d, (σ i, t 2 R i, t - 1)$	$E p i, (σ i, t 2 R i, t - 1)$
疫情前	0.067 1（0.238 9）	-0.128 9（0.056 6^***）	-0.082 3（0.164 2）
疫情后	0.217 6（0.033 5^***）	-0.293 5（0.074 1^***）	-0.179 6（0.075 8^**）

Table 3 Econometric test of positive feedback trading according to spatial geographical correlation

时间	$ρ$	$E p d, (σ i, t 2 R i, t - 1)$	$E p i, (σ i, t 2 R i, t - 1)$
疫情前	0.067 1（0.238 9）	-0.128 9（0.056 6^***）	-0.082 3（0.164 2）
疫情后	0.217 6（0.033 5^***）	-0.293 5（0.074 1^***）	-0.179 6（0.075 8^**）

Table 4 Econometric test of positive feedback trading according to spatial economic correlation

时间

E p d, (σ i, t 2 R i, t - 1) 1 / d i j G D P

E p i, (σ i, t 2 R i, t - 1) 1 / d i j G D P

E p d, (σ i, t 2 R i, t - 1) 1 / d i j I R

E p i, (σ i, t 2 R i, t - 1) 1 / d i j I R

E p d, (σ i, t 2 R i, t - 1) 1 / d i j C P I

E p i, (σ i, t 2 R i, t - 1) 1 / d i j C P I

疫情前

0.009 1

（0.284 3）

0.005 2

（0.448 8）

-0.100 9

（0.028 7^***）

-0.073 3

（0.022 4^***）

-0.131 6

（0.037 7^***）

-0.051 2

（0.023 2^**）

疫情后

-0.112 7

（0.053 0^*）

-0.083 5

（0.134 9）

-0.184 5

（0.075 0^**）

-0.323 1

（0.009 8^***）

-0.250 8

（0.004 5^***）

-0.130 5

（0.003 6^***）

Table 4 Econometric test of positive feedback trading according to spatial economic correlation

时间

E p d, (σ i, t 2 R i, t - 1) 1 / d i j G D P

E p i, (σ i, t 2 R i, t - 1) 1 / d i j G D P

E p d, (σ i, t 2 R i, t - 1) 1 / d i j I R

E p i, (σ i, t 2 R i, t - 1) 1 / d i j I R

E p d, (σ i, t 2 R i, t - 1) 1 / d i j C P I

E p i, (σ i, t 2 R i, t - 1) 1 / d i j C P I

疫情前

0.009 1

（0.284 3）

0.005 2

（0.448 8）

-0.100 9

（0.028 7^***）

-0.073 3

（0.022 4^***）

-0.131 6

（0.037 7^***）

-0.051 2

（0.023 2^**）

疫情后

-0.112 7

（0.053 0^*）

-0.083 5

（0.134 9）

-0.184 5

（0.075 0^**）

-0.323 1

（0.009 8^***）

-0.250 8

（0.004 5^***）

-0.130 5

（0.003 6^***）

Table 5 Robust test of spatial spillover effect of positive feedback trading

时期

E p d, (σ i, t 2 R i, t - 1) 1 d i j × d i j G D P

E p i, (σ i, t 2 R i, t - 1) 1 d i j × d i j G D P

E p d, (σ i, t 2 R i, t - 1) 1 d i j × d i j I R

E p i, (σ i, t 2 R i, t - 1) 1 d i j × d i j I R

E p d, (σ i, t 2 R i, t - 1) 1 d i j × d i j C P I

E p i, (σ i, t 2 R i, t - 1) 1 d i j × d i j C P I

“量化宽松”时期

0.032 2

（0.192 5）

0.007 4

（0.120 3）

-0.150 8

（0.042 5^***）

-0.126 8

（0.031 2^***）

-0.154 1

（0.067 8^**）

-0.271 6

（0.033 2^***）

“加息缩表”时期

-0.026 3

（0.098 6）

0.030 9

（0.057 3）

-0.260 3

（0.036 9^***）

-0.244 9

（0.007 7^***）

-0.102 3

（0.003 6^***）

-0.096 4

（0.040 1^**）

Table 5 Robust test of spatial spillover effect of positive feedback trading

时期

E p d, (σ i, t 2 R i, t - 1) 1 d i j × d i j G D P

E p i, (σ i, t 2 R i, t - 1) 1 d i j × d i j G D P

E p d, (σ i, t 2 R i, t - 1) 1 d i j × d i j I R

E p i, (σ i, t 2 R i, t - 1) 1 d i j × d i j I R

E p d, (σ i, t 2 R i, t - 1) 1 d i j × d i j C P I

E p i, (σ i, t 2 R i, t - 1) 1 d i j × d i j C P I

“量化宽松”时期

0.032 2

（0.192 5）

0.007 4

（0.120 3）

-0.150 8

（0.042 5^***）

-0.126 8

（0.031 2^***）

-0.154 1

（0.067 8^**）

-0.271 6

（0.033 2^***）

“加息缩表”时期

-0.026 3

（0.098 6）

0.030 9

（0.057 3）

-0.260 3

（0.036 9^***）

-0.244 9

（0.007 7^***）

-0.102 3

（0.003 6^***）

-0.096 4

（0.040 1^**）

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