An Analysis Of The Impact Of Trade Friction On The Linkage Of Sino-US Stock Markets

Since the 21 st century,economic globalization and economic integration have become the main trend of world economic development.Whether goods or capital,their flow among countries is becoming more frequent.With the increasing flow of goods and capital,trade frictions among countries also arise.As an important part of the financial market and a barometer of the national macroeconomic real economy,the stock market of all countries has become more closely linked.The impact of Sino-US trade friction on stock market linkage is reflected in it.On March 22,2018,US President Trump announced his plan to impose tariffs on goods of US$60 billion on China based on the results of the 301 survey,and proposed that China should infringe intellectual property rights on goods and restrict China's investment in the United States.This move by the United States has caused the stock markets of China and the United States to fall sharply in a short period of time,showing a significant linkage effect.Based on the observation and reflection of this incident,this paper wants to analyze and study the impact of Sino-US trade frictions on the linkage of the stock markets of the two countries.Since the 1970 s,a large number of foreign scholars have devoted themselves to the study of international stock market linkage.The predecessors have demonstrated the existence of the linkage of international stock market from various perspectives through various methods,and analyzed its changes in strength and weakness.Chinese scholars started late on the research of stock market linkage,and the conclusions are not uniform.After the trade frictions between China and the United States have a tremendous impact on the stock markets of the two countries,this paper argues that it is necessary to study the current linkage between the stock markets of China and the United States.This paper can be divided into the following aspects: First,we observe the impact of trade frictions on the stock market indices of the two countries.Then we use ARIMAmodel to analyze the impact of trade frictions on the stock market indices of China and the United States if there is no trade frictions,and compare with the actual value of trade frictions.Then we use GARCH model to calculate the volatility of the stock markets of China and the United States,and establish VAR model to test the linkage relationship between the volatility of the stock markets of the two countries.Finally,the VAR model of return rate is established to discuss the relationship between the two countries' stock market returns.Compared with the existing research results,this paper innovatively starts from the perspective of Sino-US trade frictions,which is a hot issue at present.By comparing the changes of Sino-US stock market linkage before and after trade frictions,this paper draws the conclusion of this study.The main conclusions of this study are as follows: 1.Trade frictions have brought some downward fluctuations to the stock markets of China and the United States in the short term,but the stock market of the United States has recovered from its influence in two months,and the Chinese market has been affected for a long time,and the impact is greater.2.The volatility of the return rate of Chinese stock market has little effect on the return rate of American stock market before or after the trade frictions occur,while the volatility of American stock market before the trade frictions occurs has a significant small effect on the volatility rate of Chinese stock market return,which becomes smaller and less significant after the trade frictions occur.3.The impact of China's stock market returns on the US stock market returns is slightly greater after trade frictions,but not statistically significant;the US stock market returns have a significant impact on China's stock market returns before and after trade frictions,but their impact has a slight decline after trade frictions.