The Impact Of Sino-US Trade Disputes On The Correlation Between China’s Stock Market And National Debt Market

In March 22,2018,the Trump administration announced to impose $50 billion in tariffs on Chinese goods due to intellectual property infringement and implementing investment restrictions",the international market turmoil intensified,China The prospects for future economic development are also increasingly confusing.The stock market and the national debt market are two very important financial market components of China.They are closely related to each other.This connection is reflected in the correlation between the two markets.The correlation between China’s stock market and China’s national debt market is not only important for Chinese investors to allocate and adjust the proportion of funds for their various types of investment,but also for the current state of China’s economic performance and market sentiment.By studying the changes in the correlation between the Chinese stock market and the Chinese government bond market before and after the Sino-US trade friction,this paper can effectively reflect the current market attitude towards Sino-US trade friction,help investors make better investment decisions and optimize government policies.decision making.In the theoretical part,this paper first introduces the stock,stock market,national debt and national debt market,then introduces and analyzes the theory of the correlation between stock market and national debt market and the related factors,and expounds the relevant stock market and national debt market.The theory of relevance.Then the basic framework and application scenarios of the statistical models such as extreme value theory and ARMA-GARCH model involved in the thesis are interpreted,and the advantages and disadvantages of different types of Copula functions are compared.In the empirical part,in order to reflect the fluctuation of national debt and stock market for a period of time,this paper selects the Shanghai Stock Exchange National Debt Index(referred to as “SSE National Bond Index”)and Shanghai within 9 months before and after March 22,2018.The logarithmic rate of return series of the Securities Composite Index(the “Shanghai Composite Index”)is used as a reference.Through statistical analysis such as basic statistical analysis and time series analysis,the properties of each sequence are clarified,and the optimal time series model is selected for fitting.At the same time,this paper considers the distribution of residuals.When in the state of GED distribution,normal distribution and t distribution,construct different ARMA-GARCH models,and then retrieve ARMA-GARCH(1,1)according to the principle of minimum AIC information.The-GED model implements fitting for its edge distribution characteristics.Finally,considering the serious harm caused by the extreme situation in the financial time series,the extreme value theory is introduced to establish the POT model of the residual distribution of the ARMA-GARCH(1,1)-GED model to optimize the edge distribution.In order to obtain the correlation between China’s stock market and China’s national debt market,the five types of Copula functions,such as Calyton Copula function and Gumbel Copula function,are used to model the relevant structures of the two markets.Through the GOF test,it is confirmed that both China and the United States Before the trade dispute occurred,the Gumbel Copula function was the optimal function to describe the correlation between the two markets.Then the function was used to predict the correlation between the Shanghai Composite Index and the Shanghai Stock Exchange Index.The results show that after the Sino-US trade friction,the correlation between the Chinese stock market and the Chinese bond market has changed from a weak positive correlation to a weak negative correlation,which indicates that Sino-US trade friction has aggravated the risk aversion of the Chinese investment market.Therefore,on the one hand,we suggest that investors do not need to be excessively pessimistic.When the stock market falls sharply,investing in the government bond market is a good means of financial management and hedging.On the other hand,policy makers do not need to worry too much about market stability when making policy decisions because the market The mood is generally stable.