Abstract
Taking the Sino–US trade war as the background, we study the co-movement changes on horizontal return and volatility of the daily logarithmic return data of global stock indices from 2016 to January 23, 2020 from static and dynamic perspectives. Through static tools such as correlation coefficient matrices, complex networks, and Granger causality, it is found that the trade war has significantly strengthened the correlation between the Chinese stock market and the global stock market, and highlighted the position of the Hong Kong stock market. On dynamic analysis, the news impact surface shows the asymmetry of the co-movement for positive and negative news. The aDCC-EGARCH model is used to observe the dynamic co-movement changes between the Chinese stock market and the global stock market. It shows that trade conflicts have enhanced the co-movement between the Chinese stock market and the global stock market to varying degrees. At the same time, the Chinese stock market is strategically tilted towards the Asian market. Based on the research results in this paper, countries around the world need to pay more attention to the risk contagion between stock markets after the outbreak of the trade war. China’s inland markets should be alert to risk contagion from the Hong Kong market.
Published Version
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