股指收益率异常波动、杠杆性和溢出效应——基于美中贸易冲突以来的数据

Abnormal Volatility,Leverage and Spillover Effect of Stock Index Return--Data since the U.S.-China Trade Conflict

始于2018年3月份的美中贸易冲突,导致了中美两国主要股票指数巨幅震荡。本文基于GARCH模型的研究,发现上证指数和道琼斯指数收益率均存在条件异方差效应,道指收益率对不同性质消息的反应存在非对称性,负面消息对道指的影响会溢出到上证指数,持续约4期。因此,对内全面深化改革,对外开拓新的市场,降低对美出口的依赖,是我国应对这场贸易冲突的主要对策。

The U.S.-China trade conflict since 2018March,has led to a huge fluctuation in China and the United States'major stock indexes.Based on the GARCH model,this paper finds both the Shanghai index and Dow Jones Index yield have conditional heteroscedasticity effects;Dow Index has leverage effect to different news,the influence of negative news on Dow Jones will spill over to the shanghai index for about 4periods.Pushing on an all-round domestic reform,exploiting new markets abroad and reducing the dependence on exports to US are our main strategies for this trade conflict.