In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with China.This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trad...In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with China.This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United States.Results indicate that the Sino-US trade friction weakened the return spillover effect between the soybean futures markets in China and the US,and significantly increased market volatilities.As the scale of additional tariffs increased,the volatility of the Chinese soybean futures market declined;however,the volatility of the US soybean futures market did not weaken.In addition,expanding the sources of soybean imports helped ease the impact of tariffs on China's soybean futures market,while the decline in US soybean exports to China intensified the volatility of the US soybean futures market.In addition,while the release of multiple tariff increases has had a short-termimpact on the returns of soybean futures markets,the impact of trade friction has grad-ually decreased.展开更多
基金supported by the National Natural Science Foundation of China[71873022].
文摘In March 2018,the US used an immense trade deficit as an excuse to provoke trade friction with China.This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United States.Results indicate that the Sino-US trade friction weakened the return spillover effect between the soybean futures markets in China and the US,and significantly increased market volatilities.As the scale of additional tariffs increased,the volatility of the Chinese soybean futures market declined;however,the volatility of the US soybean futures market did not weaken.In addition,expanding the sources of soybean imports helped ease the impact of tariffs on China's soybean futures market,while the decline in US soybean exports to China intensified the volatility of the US soybean futures market.In addition,while the release of multiple tariff increases has had a short-termimpact on the returns of soybean futures markets,the impact of trade friction has grad-ually decreased.
