Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective
构建了一个连续时间跳跃扩散模型，利用高频数据研究中美贸易战期间两国股市的风险传染，发现美国向中国存在金融传染，且传染渠道从综合波动率转变为负向跳跃变异。
In this article, to model risk contagion between the U.S. and China stock markets based on high-frequency financial data, we develop a novel continuous-time jump-diffusion process. For example, we consider three channels for volatility contagion—such as integrated volatility, positive jump variation, and negative jump variation—and each stock market is able to affect the other stock market as an overnight risk factor. We develop a quasi-maximum likelihood estimator for model parameters and establish its asymptotic properties. Furthermore, to identify contagion channels and test the existence of a structural break with a known structural break date, we propose hypothesis test procedures. Using the proposed diffusion model with high-frequency financial data, we investigate the effect of the U.S.–China trade war on stock markets from a financial contagion perspective. From the empirical study, we find evidence of financial contagion from the United States to China and evidence that the risk contagion channel has changed from integrated volatility to negative jump variation.