THE RELATIONSHIPS BETWEEN THE GLOBAL SUPPLY CHAIN AND THE STOCK MARKETS OF DEVELOPED AND EMERGING COUNTRIES: SECTORAL VIEW

Year 2025, Volume: 26 Issue: 1, 568 - 597, 27.03.2025

Serap Kamışlı

https://doi.org/10.53443/anadoluibfd.1641157

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.

Keywords

The Global Supply Chain Pressure Index, Negative shocks, Implicit Asymmetric Combined Cointegration

References

• Abakah, E. J., Abdullah, M., Dankwah, B., & Lee, C. (2024). Asymmetric dynamics between the Baltic dry index and financial markets during major global economic events. The North American Journal of Economics and Finance, 72. https://doi.org/10.1016/j.najef.2024.102126
• Ağca, Ş., Birge, J. R., Wang, Z., & Wu, J. (2023). The impact of COVID‐19 on supply chain credit risk. Production and Operations Management, 32(12), 4088-4113. https://doi.org/10.1111/poms.14079
• Arto, I., Andreoni, V., & Cantuche, J. M. (2015). Global impacts of the automotive supply chain disruption following the Japanese earthquake of 2011. Economic Systems Research, 27(3), 306-323. https://doi.org/10.1080/09535314.2015.1034657
• Ascari, G., Bonam, D., & Smadu, A. (2024). Global supply chain pressures, inflation, and implications for monetary policy. Journal of International Money and Finance, 142. https://doi.org/10.1016/j.jimonfin.2024.103029
• Baghersad, M., & Zobel, C. W. (2021). Assessing the extended impacts of supply chain disruptions on firms: An empirical study. International Journal of Production Economics, 231. https://doi.org/10.1016/j.ijpe.2020.107862
• Banerjee, A., Dolado, J., & Mestre, R. (1998). Error‐correction mechanism tests for Cointegration in a single‐equation framework. Journal of Time Series Analysis, 19(3), 267-283. https://doi.org/10.1111/1467-9892.00091
• Bayer, C., & Hanck, C. (2013). Combining non-cointegration tests. Journal of Time Series Analysis, 34(1), 83-95. https://doi.org/10.1111/j.1467-9892.2012.00814.x
• Benigno, G., di Giovanni, J., Groen, J. J. J., & Noble, A. I. (2022). The GSCPI: A new barometer of global supply chain pressures (Staff Reports 1017). Federal Reserve Bank of New York. https://www.newyorkfed.org/research/staff_reports/sr1017.html
• Boswijk, H. P. (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63(1), 37-60. https://doi.org/10.1016/0304-4076(93)01560-9
• Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276. https://doi.org/10.2307/1913236
• Gozgor, G., Khalfaoui, R., & Yarovaya, L. (2023). Global supply chain pressure and commodity markets: Evidence from multiple wavelet and quantile connectedness analyses. Finance Research Letters, 54. https://doi.org/10.1016/j.frl.2023.103791
• Hendricks, K. B., & Singhal, V. R. (2005). An empirical analysis of the effect of supply chain disruptions on long‐run stock price performance and equity risk of the firm. Production and Operations Management, 14(1), 35-52. https://doi.org/10.1111/j.1937-5956.2005.tb00008.x
• Hernández, J. R., Ventosa-Santaulària, D., & Valencia, J. E. (2024). Global supply chain inflationary pressures and monetary policy in Mexico. Emerging Markets Review, 58. https://doi.org/10.1016/j.ememar.2023.101089
• Hu, G., Gozgor, G., Lu, Z., Mahalik, M. K., & Pal, S. (2024). Determinants of renewable stock returns: The role of global supply chain pressure. Renewable and Sustainable Energy Reviews, 191. https://doi.org/10.1016/j.rser.2023.114182
• Hupka, Y. (2022). Leverage and the global supply chain. Finance Research Letters, 50. https://doi.org/10.1016/j.frl.2022.103269
• Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
• Kanike, U. K. (2023). Factors disrupting supply chain management in manufacturing industries. Journal of Supply Chain Management Science, 4(1-2), 1-24. https://doi.org/10.18757/jscms.2023.6986
• Khan, A., Sindhwani, R., Atif, M., & Varma, A. (2024). Supply chain driven herding behavior during COVID-19: Evidence of interdependence from India. Journal of Business & Industrial Marketing, 39(8), 1764-1787. https://doi.org/10.1108/jbim-10-2023-0568
• Kuo, P., Chiu, C., Chen, C., & Wang, M. (2020). The dynamic relationships between the Baltic dry index and the BRICS stock markets: A wavelet analysis. Asian Economic and Financial Review, 10(3), 340-351. https://doi.org/10.18488/journal.aefr.2020.103.340.351
• Li, J., Wang, Y., Song, Y., & Su, C. W. (2023). How resistant is gold to stress? New evidence from global supply chain. Resources Policy, 85. https://doi.org/10.1016/j.resourpol.2023.103960
• Lin, A. J., Chang, H. Y., & Hsiao, J. L. (2019). Does the Baltic dry index drive volatility spillovers in the commodities, currency, or stock markets?. Transportation Research Part E: Logistics and Transportation Review, 127, 265-283. https://doi.org/10.1016/j.tre.2019.05.013
• Liu, J., Sarkar, S., Kumar, S., & Jin, Z. (2018). An analysis of stock market impact from supply chain disruptions in Japan. International Journal of Productivity and Performance Management, 67(1), 192-206. https://doi.org/10.1108/ijppm-06-2016-0104
• Liu, W., Liu, X., & Choi, T. (2023). Effects of supply chain quality event announcements on stock market reaction: An empirical study from China. International Journal of Operations & Production Management, 43(2), 197-234. https://doi.org/10.1108/ijopm-10-2021-0638
• Manoharan, M., & Visalakshmi, S. (2019). The interrelation between Baltic dry index a practical economic indicator and emerging stock market indices. Afro-Asian J. of Finance and Accounting, 9(2), 213-224. https://doi.org/10.1504/AAJFA.2019.099483
• Mrabet, Z., Alsamara, M., Mimouni, K., & Awwad, A. (2025). Do supply chain pressures affect consumer prices in major economies? New evidence from time-varying causality analysis. Economic Modelling, 142. https://doi.org/10.1016/j.econmod.2024.106914
• Nguemgaing, H. F., & Sant’Anna, A. C. (2021). The impact of supply chain disruptions on stock market returns during COVID-19. Agricultural Finance Review, 82(4), 732-764. https://doi.org/10.1108/afr-06-2021-0083
• Özer, M., Vukovic, D., Frömmel, M., & Kamişli, M. (2024). Does bitcoin shocks truly Cointegrate with financial and commodity markets?. International Review of Financial Analysis, 95, 103354. https://doi.org/10.1016/j.irfa.2024.103354
• Qin, M., Su, C., Lobonţ, O., & Moldovan, N. (2023). Does global supply chain pressure motivate the gold market?. Economic Research-Ekonomska Istraživanja, 36(3). https://doi.org/10.1080/1331677x.2023.2183229
• Qin, M., Su, C., Wang, Y., & Doran, N. M. (2024). Could "Digital gold” resist global supply chain pressure?. Technological and Economic Development of Economy, 30(1), 1-21. https://doi.org/10.3846/tede.2023.18557
• Ren, X., Fu, C., Jin, C., & Li, Y. (2024). Dynamic causality between global supply chain pressures and China's resource industries: A time-varying Granger analysis. International Review of Financial Analysis, 95. https://doi.org/10.1016/j.irfa.2024.103377
• Romero-Ramírez, H. (2024). Effects of global supply chain pressure on sentiment, expectation, and uncertainty: A VAR approach. The Anáhuac Journal, 24(2), 1-25. https://doi.org/10.36105/theanahuacjour.2024v24n2.2515
• Sim, M., Lee, J., Kim, Y., & Lee, C. (2024). Resilient responses to global supply chain disruptions: Focusing on the stock price of global logistics companies. Applied Sciences, 14(23). https://doi.org/10.3390/app142311256
• Tarigan, Z. J., Siagian, H., & Jie, F. (2021). Impact of internal integration, supply chain partnership, supply chain agility, and supply chain resilience on sustainable advantage. Sustainability, 13(10). https://doi.org/10.3390/su13105460
• The Federal Reserve Bank of New York. (n.d.). Global Supply Chain Pressure Index (GSCPI). Retrieved from https://www.newyorkfed.org/research/policy/gscpi#/interactive
• Trif, R., DumitraȘcu, D., & Ranf, D. E. (2024). New global supply chain pressures index. An analysis of the inflationary changes brought about by global supply chains. International Conference Knowledge-Based Organization, 30(1), 1-8. https://doi.org/10.2478/kbo-2024-0041
• Wang, M., Ouyang, K., & Jing, P. (2025). Dynamic interplay of energy uncertainty, supply chain disruption, and digital transformation on China's renewable energy stocks. Energy Economics, 141. https://doi.org/10.1016/j.eneco.2024.108127
• Wang, Q., Zhou, H., & Zhao, X. (2024). The role of supply chain diversification in mitigating the negative effects of supply chain disruptions in COVID-19. International Journal of Operations & Production Management, 44(1), 99-132. https://doi.org/10.1108/ijopm-09-2022-0567
• Wang, Z., Dong, Y., & Liu, A. (2022). How does China's stock market react to supply chain disruptions from COVID-19?. International Review of Financial Analysis, 82. https://doi.org/10.1016/j.irfa.2022.102168
• Xu, Z., Elomri, A., Kerbache, L., & El Omri, A. (2020). Impacts of COVID-19 on global supply chains: Facts and perspectives. IEEE Engineering Management Review, 48(3), 153-166. https://doi.org/10.1109/emr.2020.3018420
• Ye, M., Si Mohammed, K., Tiwari, S., Ali Raza, S., & Chen, L. (2023). The effect of the global supply chain and oil prices on the inflation rates in advanced economies and emerging markets. Geological Journal, 58(7), 2805-2817. https://doi.org/10.1002/gj.4742