贸易战前后中美股市联动性研究
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引用本文:饶建萍,王 波,唐铭惠.贸易战前后中美股市联动性研究[J].经济数学,2019,(4):8-13
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饶建萍,王 波,唐铭惠 (上海理工大学 管理学院,上海 200093) 
中文摘要:选取标普500指数和上证综指为研究变量,运用ECM模型研究贸易战前后中美两国股市的联动性.将标普500指数和上证综指的历史交易数据分为2个时间段,2018年3月23日(该日特朗普签署总统备忘录,标志中美贸易战正式打响)为分界点.时段1为2017年1月3日-2018年3月22日,该时间段内,中美还没有开始打贸易战;时段2为2018年3月23日-2019年6月7日,为中美贸易战开打后的时间段.分段研究中美贸易战开打之前和开打之后中美两国股市的联动性,研究发现:1)无论贸易战打响之前还是打响之后,我国股票市场都受到美国股票市场的影响,而反过来,中国股票市场的走向几乎不会对美国股市造成影响;2)中美贸易战开打之前,中美股市联动性较强,中国股市走向很大程度上依赖于美国股市行情;而贸易战开打之后,中美两国股市联动性降低,我国股市对美国股市的依赖性减弱.
中文关键词:中美股市  联动性  贸易战
 
Research on the Co-movement of Chinese and American Stock Markets before and after the Trade War
Abstract:This paper selects the S&P 500 index and the Shanghai Composite Index as the research variables, and uses the ECM model to study the Co-movement of Chinese and American Stock Markets before and after the trade war. The historical trading data of the S&P 500 and the Shanghai composite index are divided into two periods, with March 23, 2018 (when Trump officially signed a presidential memorandum , which officially launched the trade war between the USA and China)as the cut-off point. The period 1 is from January 3, 2017 to March 22, 2018, during which the trade war has not yet begun. The period 2 is from March 23, 2018 to June 7, 2019, during which the trade war has begun. The co-movement of the stock markets of China and the United States before and after the trade war between China and the United States is studied in sections. The study shows that :1) No matter before or after the trade war, China's stock market is affected by the U.S. stock market; However, the trend of China's stock market has little impact on the U.S. stock market;2) Before the trade war, the stock markets of China and the United States were highly correlated, and the quotations of the China's stock market largely depended on the U.S. stock market; after the trade war, the co-movement of the stock markets of China and the United States has decreased, and the dependence of China's stock market on the U.S. stock market has weakened.
keywords:Chinese and American stock markets  co-movement  trade war
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