贸易摩擦、摩擦关注与股市短期溢出效应

Trade Friction,Attention and the Short-term Spillover Effect of Stock Market

贸易摩擦作为不确定性外部冲击影响实体经济,会即时引发投资者注意并扰乱其投资决策和交易行为,从而影响股票市场稳定性。文章基于中美贸易摩擦现实背景,实证分析了贸易摩擦系列事件对中美两国股票市场的短期溢出效应和作用机制。结果表明,贸易摩擦事件显著降低中国股市收益率的同时也提高了波动率,对美国股市收益率却不存在显著影响,仅对波动率存在微弱提升作用。动态分析也显示,贸易摩擦事件对中国股市的溢出效应强度和时间均显著高于美国股市,但两国均较快开始向0收敛。进一步的中介效应分析表明,投资者对摩擦事件的关注是产生短期溢出效应的作用机制,并且事前关注和事后关注对于股市的溢出效应具有非对称性。

As an uncertain external shock,trade friction influences the real economy,which will immediately attract the investors’attention and disturb their investment decisions and trading behavior,thus affecting the stability of stock market.Against the background of Sino-US trade frictions,this paper empirically analyzes the short-term spillover effects of the series of trade friction events on Sino-US stock markets and the mechanism.The results show that trade friction events not only significantly reduce the yield of China’s stock market and also increase the volatility.However,trade friction events have no significant spillover effects on the yield of stock market of the United States,and only slightly increase the volatility.Dynamic analysis also reveals that the intensity and time of the spillover effects of trade friction events on China’s stock market are significantly higher and longer than those on stock market of the United States,but both countries start to converge to zero quickly.Further analysis of the mediating effect shows that the investors’attention to friction events is the mechanism of producing the short-term spillover effect,and the spillover effects of prior attention and post attention on stock market are asymmetric.