Study on the Linkage between Between International Crude Oil Price and Sino-U.S. Stock Market against Against the Backdrop of Trade War
- https://doi.org/10.2991/aebmr.k.191217.180How to use a DOI?
- Trade War, International Crude Oil Prices, Sino-U.S. Stock Markets
The U.S.-China trade war is increasingly having a significant impact on financial markets and the world economy. Based on the daily data from 2017 to June 2019, this paper carries out an empirical study on the mean spillover effect and volatility spillover effect of international crude oil prices and Sino-U.S. stock markets by adopting VAR model and multivariate BEKK-GARCH model. The results show that in terms of mean spillover effect, the trade war has not changed the linkage between Sino-U.S. stock markets and there is no notable spillover effect between international crude oil prices and Sino-U.S. stock markets. While in terms of volatility spillover effect, the impact of the trade war is evident in the risk contagion between international crude oil markets and Sino-U.S. stock markets. The volatility spillover effect between the international crude oil markets and the U.S. stock market is enhanced, while the volatility spillover effect between the Chinese stock markets is weakened. In addition, the risk contagion effect between Sino-U.S. stock markets has also undergone changes in varying degrees.
- © 2019, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Jian Jie PY - 2019 DA - 2019/12/20 TI - Study on the Linkage between Between International Crude Oil Price and Sino-U.S. Stock Market against Against the Backdrop of Trade War BT - Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019) PB - Atlantis Press SP - 1044 EP - 1049 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.191217.180 DO - https://doi.org/10.2991/aebmr.k.191217.180 ID - Jie2019 ER -