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This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to a¤ect both conditional returns and volatility, with the e¤ects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn out than in mature bond markets. International and regional macroeconomic news is at least as important as local news for both asset valuations and volatility dynamics in external emerging bond markets.

By employing time–frequency-domain frameworks, this study analyzes the spillover effects of news-based economic uncertainty caused by the pandemic on three renewable energy stock indices in the USA, Europe, and the world. The empirical results reveal that the total spillover from economic uncertainty to the three renewable energy stock returns was concentrated at a high frequency, whereas those to volatilities appeared at low frequencies. Utilizing a rolling-window method, we observed that the impact of uncertainty caused by COVID-19 on three renewable energy stock returns and volatilities is more significant than that resulting from the global financial crisis (GFC). During COVID-19, the majority of the spillover effects from economic uncertainty to returns and volatilities of the three indices focused on the long term.

Research summary: Building on economic geography and institutional theory, we develop and test theory relating geographic variables to the strength of corporate social responsibility (CSR) engagement and the cost of equity capital. For a large sample of U.S. firms over the period 1998—2009, we find strong and robust evidence that firms located in areas characterized by high levels of local CSR density score higher in CSR engagement. In addition, firms located close to major cities and financial centers exhibit higher CSR engagement compared to firms located in more remote areas. Moreover, the effect of CSR engagement on reducing equity financing costs is even greater for firms in high CSR density areas than for firms in low CSR density areas. Managerial summary: Does the location of CSR engagement by firms affect the strength of CSR engagement by their neighbors? Does the geography of engagement have an impact on financial performance? Our findings show that a firm's CSR engagement increases in areas where there is dense CSR engagement and when it is located near large cities. In these areas, norms, values, and knowledge related to CSR are transmitted to firms through face-to-face meetings and frequent social interactions with groups such as peers, labor unions, news media, universities, and community organizations, which tend to be concentrated in large cities. Our findings further highlight that CSR engagement reduces equity financing costs for firms in areas where CSR is widely practiced.

This article demonstrates that public opinion on migration \"at home\" is systematically driven by terrorism in other countries. Although there is little substantive evidence linking refugees or migrants to most recent terror attacks in Europe, news about terrorist attach can trigger more negative views of immigrants. However, the spatial dynamics of this process are neglected in existing research. We argue that feelings of imminent danger and a more salient perception of migration threats do not stop at national borders. The empirical results based on spatial econometrics and data on all terrorist attach in Europe for the post-9/11 period support these claims. The effect of terrorism on migration concern is strongly present within a country but also diffuses across states in Europe. This finding improves our understanding of public opinion on migration, as well as the spillover effects of terrorism, and it highlights crucial lessons for scholars interested in the security implications of population movements.

Purpose This paper aims to investigate the effects of buzz about the focal brand on competing brands’ attitudes. Design/methodology/approach Brand-related buzz can be defined as “a general sense of [positive or negative] excitement about or interest in [a brand], as reflected in or generated by word of mouth” (Oxford dictionary). The authors investigate the spillover effects of such positive and negative buzz on brand attitudes of 648 brands in 43 categories over five years. Findings The authors find that spillover effects are widespread across product categories and affect competing brands through (negative) halo effect and (unfavorable) preference substitution. The authors do not find evidence of positive spillover effects for non-focal brands. Research limitations/implications The authors provide generalizable evidence that positive and negative buzz spills over competing brands’ attitudes for hundreds of brands across the largest sectors of the US economy. Interestingly, positive and negative buzz have asymmetric effects on consumer attitudes. These effects vary by consumer attitude metric and are moderated by brand news intensity, strength and similarity. Practical implications First, marketing managers should monitor the buzz of competing brands. Second, if managers are concerned with impressions, they should intervene when there is a negative buzz about competitors (halo effect). Third, managers should stimulate positive buzz to negatively affect their competitors’ purchases. Fourth, managing a smaller brand has advantages regarding impressions and recommendations, while news intensity can shield from negative spillover effects for impressions. Finally, brand similarity amplifies the spillover effects across the board. Originality/value This paper provides evidence that spillover effects are pervasive and urges marketing managers and academics to incorporate competing buzz in their frameworks and strategies.

PurposeThis paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns.Design/methodology/approachThis paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility.FindingsThe results show time-varying and asymmetric volatility spillovers among the stock markets under investigation. During the coronavirus disease 2019 (COVID-19) pandemic, bad volatility spillovers are more pronounced and dominated over good volatility spillovers, indicating contagion effects.Originality/valueThe presence of confirmed COVID-19 cases positively (negatively) affects the good and bad spillovers under low and intermediate (upper) quantiles. Both types of spillovers at various quantiles agree also influenced by the number of COVID-19 deaths.

This article investigates spillovers from foreign economies to the U.S. through changes in long-term Treasury yields. We document a decline in the contribution of U.S. domestic news to the variance of long-term Treasury yields and an increased importance of overnight yield changes, a proxy for foreign shocks’ contribution to U.S. yields. A model that identifies U.S., Euro area, and U.K. shocks that move global yields suggests that foreign shocks account for at least 20% of the daily variation in long-term U.S. yields in recent years. We also document the predictability of long-term U.S. yields by the U.S.–foreign yield spread.

The economic literature has for a long time been looking for explanations of a very strong international correlation of business cycles. This paper shows empirically that common fluctuations can to some degree be the effect of confidence shocks being transmitted internationally. We focus on a large (euro area) and a small, nearby economy (Poland). Our results show that euro area confidence fluctuations account for approximately 40–70% of business cycle fluctuations both in the euro area and in Poland. More importantly, their transmission happens not only via traditional channels (e.g., by confidence affecting euro area GDP and then Polish GDP via trade), but to a large extent occurs directly (e.g., by news spreading via media).

This paper examines the financial cointegration and spillover effect of the global financial crisis to emerging Asian financial markets (India, China, Pakistan, Malaysia, Russia and Korea). The analysis used daily stock returns, divided into three time periods: pre-, during and post-crisis from 1 July 2005 to 30 June 2015. We applied the Johansen and Juselius cointegration test, the vector error correction model (V.E.C.M.) and the G.A.R.C.H.-B.E.K.K. model for an examination of integration and conditional volatility. We find long-term cointegration between the U.S. market and emerging stock markets, and the level of cointegration increased after the crisis period. The V.E.C.M. and impulse response function reveal that a shock in the U.S. financial market has a short-term impact on the returns of emerging financial markets. Past shocks and volatility have more effect on the selected stock markets during all time periods. The Korea Composite Stock Price Index and the Bombay stock exchange (B.S.E.) are the only stock markets that have cross-market news and volatility spillover effects during the crisis period. After the crisis period, news effects are positive on the B.S.E. and the Russian Trading System and have a negative effecton the Kuala Lumpur Stock Exchange and the Shanghai Stock Exchange.

This paper constructs various measures of domestic and global uncertainty and provides a comprehensive study of their impacts on the Thai economy. Based on a small open economy VAR, global uncertainty delivers deeper and more long-lasting effects when compared to within-country ones. In addition, we find that uncertainty shocks first generate sudden and large declines for stock prices and foreign portfolio investment, before gradually affecting the real economy through investment and trade channels. There is also meaningful heterogeneity among different types of domestic uncertainty. While financial uncertainty matters most for the Thai economy overall, consumption demand largely responds to macroeconomic uncertainty, while economic policy and political uncertainty generates the most persistent effects on investment. Furthermore, fiscal policy uncertainty is a key driver of trade flows while monetary policy uncertainty plays an important role for capital markets.