Oct 14, 2019, 4:30 pm4:30 pm
Julis Romo Rabinowitz Building 101
Open to the Public


Event Description

We study how the trade sentiment in Chinese media weights on US and Chinese equity markets over the past two years. After constructing a daily trade sentiment index based on a big data approach (ConvNet) using one of the largest Chinese media databanks we relate it to Fama-French factors. We examine the impact on global equity markets using daily equity returns at country level and then identify which sectors are most affected in the US and China, respectively. Finally, the sensitivity of individual stocks is related to underling firm’s role in the global value chain. We contribute to the literature on media sentiment on stock markets as well as the more recent literature on the impact of trade tensions.


Marlene Amstad is finance and economics professor at the Chinese University of Hong Kong, Shenzhen and Co-Director of the Center for Financial Technology and Social Finance at the Shenzhen Finance Institute.  Her research is on money, banking, and Chinese financial markets. She serves currently as Vice-Chair of the Swiss Financial Market Supervisory Authority (FINMA) and was Deputy Director at the Swiss National Bank heading the Investment Strategy of foreign exchange reserves.  She worked as an adviser for 11 Asian central banks and is the Co-editor and author of the forthcoming Handbook of Chinas Financial System.

  • Paul and Marcia Wythes Center on Contemporary China
  • Bendheim Center for Finance