Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)

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Study on the Linkage between Between International Crude Oil Price and Sino-U.S. Stock Market against Against the Backdrop of Trade War

Authors
Jian Jie
Corresponding Author
Jian Jie
Available Online 20 December 2019.
DOI
10.2991/aebmr.k.191217.180How to use a DOI?
Keywords
Trade War, International Crude Oil Prices, Sino-U.S. Stock Markets
Abstract

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.

Copyright
© 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/).

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Volume Title
Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)
Series
Advances in Economics, Business and Management Research
Publication Date
20 December 2019
ISBN
10.2991/aebmr.k.191217.180
ISSN
2352-5428
DOI
10.2991/aebmr.k.191217.180How to use a DOI?
Copyright
© 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

risenwbib
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  - 10.2991/aebmr.k.191217.180
ID  - Jie2019
ER  -