Measurement Of Stock Market Risk And Risk Dependence Of China’s Automobile Industry Under The Background Of Sino-US Trade Friction

With the continuous promotion of economic globalization and economic integration,trade relations between countries are getting closer and closer,and trade frictions between countries are also emerging.In March 2018,the United States imposed a 25 per cent tariff on about $60 billion of Chinese imports;subsequently,China adopted countermeasures to impose tariffs on some US imports of ＄3 billion.Since then,a new round of Sino-US trade friction has begun,and at the same time has brought varying degrees of impact on different industries in China.As a common taxable commodity between China and the United States,cars are not only directly taxed,but also their raw material industry,spare parts and other related goods are also on the tax list.As a big exporter of auto parts and a big importer of complete vehicles,the trade friction between China and the United States is bound to bring certain impacts and challenges to China’s automobile industry.With the escalation of trade frictions,the risks and challenges faced by China’s automobile industry are also increasing day by day.In order to clarify the risk degree of China’s automobile industry under the background of Sino-US trade friction,put forward more targeted and effective suggestions to avoid risks and reduce losses,it is particularly important to measure the risk degree of the automobile industry in the current market environment.At present,the research on the impact of Sino-US trade friction on the automobile industry only stays at the theoretical level,and there is little specific risk measurement.This paper analyzes the degree of risk brought by Sino-US trade friction to the automobile industry from two aspects of risk measurement and risk dependence of the automobile industry,and explores the risk dependence of automobile-related industries on the automobile industry.The risk measurement model is applied to the risk measurement of the automobile industry,combining many types of traditional measurement models and modern risk models,and the optimal model is selected to measure the risk of the automobile industry.The optimal ARMA-GARCH-VaR model is selected to quantify the risk of China’s automobile industry,and the optimal ARMA-GARCH-Copula model is used to measure the risk dependence between China’s automobile industry and the whole vehicle,auto parts,bank,rubber and steel industry.It is analyzed from three aspects:dependence structure,overall dependence and tail dependence.The robustness of the model results were tested respectively.According to the research results,this paper puts forward targeted measures to avoid risks to government agencies and automobile enterprises.The results show that Sino-US trade friction increases the risk of China’s automobile industry.From the perspective of value-at-risk measurement,the value-at-risk of China’s automobile industry has increased to a certain extent.At 95%confidence level,the value at risk of China’s automobile industry has increased from 2.0060 to 2.9446,and the standard deviation of value at risk fluctuation has increased from 0.219 to 0.6358.From the perspective of risk dependence measurement,China’s automobile-related industries have different structural characteristics of dependence,and the overall dependence and tail dependence have changed in varying degrees.First,in terms of dependence structure,except for the dependence structure of automobile industry and iron and steel industry,the other four industries all show the characteristics of symmetrical thick tail structure;second,in terms of overall dependence,the risk dependence of different automobile-related industries and China’s automobile industry has increased in varying degrees.Among them,the parts industry,the whole vehicle industry and its overall dependence is the largest,followed by the rubber and steel industry,the banking industry and the automobile industry have the smallest overall dependence,but the overall dependence increases the largest before and after trade friction.Third,in terms of tail dependence,in addition to auto parts and vehicle industry,the tail correlation coefficient of other industries has increased in varying degrees.After the occurrence of trade friction,although the tail dependence of the automobile industry and the auto parts industry and the whole vehicle industry has decreased,compared with other industries,the degree of dependence between the automobile industry and the auto parts industry is still the greatest,followed by the raw material industry,indicating that the auto industry is greatly affected by the risks of the auto parts industry and the raw materials industry.Thus it can be seen that the value-at-risk of China’s automobile industry has increased.In order to effectively avoid risks,this paper offers effective propoals to the government,industry associations and enterprises from the fields of policy formulation,import and export structure,industry norms,risk early warning,enterprise independent innovation,product upgrading and so on.