Abstract
Using the COVID-19 and the Sino-US trade war as the background, the data of the stock markets in China and the US from March 1, 2017 to September 11, 2020 are divided into 3 phases, and the high-frequency return series are extracted by empirical mode decomposition algorithm, excluding the interference of the medium-frequency data and low-frequency data. The DCC-GARCH model is used to analyze the China-US stock market linkage in the 3 phases, and the results show that: both the China-US trade war and the COVID-19 have a significant impact on the China-US stock market linkage. The Sino US trade war makes the linkage of Sino US stock market decline in the short term, while The COVID-19 made the relationship between China and the United States present an inverted "U" shape of first rising and then falling.
Export citation and abstract BibTeX RIS
Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence. Any further distribution of this work must maintain attribution to the author(s) and the title of the work, journal citation and DOI.