ASYMMETRICAL REACTION TO US STOCK MARKET RETURN NEWS: EVIDENCE FROM MAJOR STOCK MARKETS BASED ON A DOUBLE-THRESHOLD MODEL

Although financial markets in the United States are widely regarded as a global benchmark, their influence on international markets are usually not uniform and often exhibits asymmetry depending on the nature of the news and the prevailing market conditions. This study aims to investigate how positive and negative news from the United States Stock market influences other international markets using different thresholds. This study used a sample period from January 2000 to December 2023 for the US, Europe, Asia, and emerging markets. The findings revealed that there are significant asymmetries in market reactions as negative United States stock-return news has a more pronounced and immediate impact on global markets compared to positive news. The results also revealed that these asymmetries are more profound in emerging markets. Therefore, emerging market regulators may need safety nets to account for potentially higher than usual effects of negative U.S. news on their domestic markets due to asymmetrical responses and regime shifts in the global equity markets.