Research On The Spillover Effects Of Sino-US Stock Markets Under The Background Of The Trade War Based On The SVCJ Model

With the deepening of the current economic globalization,a new situation of mutual influence and interdependence can be seen due to the economic development of various countries.Spillover effects between stock markets are also widespread,especially jump spillovers and volatility spillovers.As the first and second largest economy in the world,China and the United States directly influence the economic development of the two countries.Since Trump was elected president of the United States,he has always believed in "American priority." He regarded China as a hindrance to the development of the US economy,then launched a Sino-US trade war.Therefore,as the trade wars are growing,the study of jump spillovers and volatility spillovers between Chinese and American stock markets can help us understand how the jumps and volatility between Chinese and American stock markets are spread before and after the trade war.Through the research of this paper,it is a great significance for the regulators of the two countries to adjust and formulate effective supervision strategies in a timely manner,the macro-controllers to formulate effective laws and regulations,and investors to construct a reasonable investment portfolio to avoid risks.This paper firstly reviews the domestic and foreign related literatures of the jump-dependent stochastic volatility model(SVCJ model),the jump spillover effect and the volatility spillover effect,and puts forward own research ideas.Then introduces Markov Chain Monte Carlo simulation method(MCMC algorithm)and its estimation method in SVCJ model,at last introduces jump overflow index,VAR-BEKK-GARCH model,DCC-MGARCH model and its test method.In the empirical analysis,this paper selects the "301" investigation incident initiated by the United States on August 14,2017 as the starting point of the Sino-US trade war,and analyzes the jump spillover and volatility spillover effects of the Sino-US stock market before and after the trade war.The Shanghai Composite Index and the Standard & Poor's 500 Index are selected to represent the Sino-US stock market.First,the basic characteristics of the data are analyzed.The SVCJ model is used to estimate the parameters,jumps and volatility of Sino-US stock market returns before and after the trade war,combining the jump overflow index with quantitative analysis of the jump spillover effect between Chinese and American stock markets at different times,then establishes VAR-BEKK-GARCH model and DCC-MGARCH model for the volatility of the two,and analyzes the volatility spillover effect of volatility between Chinese and American stock markets before and after the trade war.Finally,the following conclusions are drawn: 1.Before and after the trade war,there were significant jump spillover effects in the Sino-US stock market.Before the trade war,the Chinese stock market had a greater jump strength.When the stock markets of the two countries jumped at the same time,the US stock market played a leading role;after the trade war,the US stock market had a greater jump strength.The Chinese stock market plays a leading role in the simultaneous jump of the stock markets of the two countries.2.There are two-way volatility spillover effects in the Sino-US stock market before and after the trade war,and with the beginning of the trade war,the volatility spillover effect is increasing.Finally,the paper summarizes the full text and puts forward relevant policy recommendations as well as research deficiencies and prospects for the future.