贸易战后中美对中国主要周边金融市场波动的动态性影响对比研究

A Comparative Study on the Dynamic Impact of China and the United States on the Volatility of China’s Major Peripheral Financial Markets after the Trade War

国内金融市场日益发展,对世界主要股市产生一定影响。中美贸易战叠加新冠疫情冲击,分析中美争夺中国主要周边金融市场影响力值得研究。消化与降低对中国金融市场的冲击,扩大中国金融市场影响力是关注重点。选取日本和中国香港地区股市,运用VECH-GARCH模型,考察样本期间中美与中国周边主要股市间波动相关性的动态变化特征。考虑股市交易时差因素区分波动溢出传导方向,结论表明中国股市与周边主要股市间存在波动溢出效应,并且相关性效应具有明显的阶段性特征,美股与中国周边主要股市存在波动溢出效应。建议完善股市监管制度,利用我国与周边金融市场联动特征,最大效能发挥资本市场投融资功能为国内经济服务。

The growing domestic financial market has a certain impact on the world’s major stock markets. The Sino-US trade war has superimposed the impact of the new crown epidemic, and it is worth studying the influence of China and the United States competing for the influence of China’s major peripheral financial markets. Digesting and reducing the impact on China’s financial market and expanding the influence of China’s financial market are the focus of attention. The stock markets of Japan and Hong Kong, China are selected, and the VECH-GARCH model is used to examine the dy-namic characteristics of volatility correlation between China and the United States and major stock markets around China during the sample period. Considering the time difference of stock market trading to distinguish the transmission direction of volatility spillover, the conclusion shows that there is a volatility spillover effect between the Chinese stock market and the surrounding major stock markets, and the correlation effect has obvious stage characteristics. It is suggested to im-prove the stock market supervision system, take advantage of the linkage between my country and the surrounding financial markets, and maximize the investment and financing functions of the capital market to serve the domestic economy.