The relationships between the global supply chain and the stock markets of developed and emerging countries: sectoral view

Abstract

The study aims to determine the long-run relationships between the increases in the global supply chain pressure index (GSCPI) and the decreases in different sector indices of developed and emerging markets. For this purpose, the relationships between GSCPI and 8 different sectors of 18 developed and emerging markets were first analyzed by Bayer & Hanck (2013) Combined Cointegration Test and then by Özer et al. (2024) Implicit Asymmetric Combined Cointegration Test. The results of the study indicated long-run relationships between the increases in GSCPI and the decreases in different sector indices of many countries. The most important finding of the study is that the decreases in the sector indices of emerging countries are more related with the increases in GSCPI in the long run compared to developed countries. Another important finding of the study is that the decreases in the communication, industry and technology sector indices are related with the increases in global supply chain pressure in the long run, then the other sector indices. The study provides investors important information about the differentiated relationships between global supply chain pressure and the stock indices at both country and sectoral basis, that they can use in portfolio management decisions.