Semiconductor game of thrones: A comprehensive study of geopolitical and equity market uncertainty transmission
研究了1990至2024年间美国与亚洲半导体市场中地缘政治不确定性与股票市场不确定性之间的传导关系，发现美国市场对地缘政治调整更快，而亚洲市场波动更大且适应较慢。
The paper investigates the intricate relationship between geopolitical uncertainty and equity market uncertainty in the semiconductor sector, focusing on the American and Asian markets from 1990 to 2024. We propose new measures of both market and geopolitical uncertainty focusing on the spreads between fast and slow components of market indices and geopolitical risk index. We focus on informational content of our measures, by studying the transmission mechanisms between those measures using technological rivalry between China and US in the semiconductor sector as our economic background. Findings reveal that geopolitical uncertainty measures are informationally dense. Using proposed measures, we find that geopolitical uncertainty significantly impacts investor sentiment, market stability, and price expectations, with notable regional differences. American markets demonstrate a faster adjustment to geopolitical uncertainty compared to their Asian counterparts, which exhibit higher volatility and slower adaptation. The study also uncovers that heightened geopolitical uncertainty amplifies market uncertainty in the US, while in Asia, geopolitical shocks may paradoxically stabilize stock valuations. These insights offer valuable implications for investors and policymakers, highlighting the importance of risk management strategies tailored to geopolitical contexts.