 Volatility characteristics of stock markets during the US-China trade warTing Yang International Review of Economics & Finance, 2025, vol. 102, issue C Abstract: This study investigates the effect of the US-China trade war on stock market volatility. Utilizing daily data from the Dow Jones Industrial Average (DJI), NASDAQ (IXIC), Shanghai Stock Exchange (SSEC), and Shenzhen Stock Exchange (SZI) from March 2, 2016 to March 24, 2020, with the trade war commencing on March 23, 2018. GARCH, TGARCH, and EGARCH models are used in the analysis to evaluate volatility dynamics. The study reveals: Firstly, the ARCH effect varies across different stock indexes following the trade war. Secondly, the GARCH effect of stock indexes has significantly increased after the trade war. Lastly, the trade conflict has notably heightened market volatility in both countries, with investors demonstrating stronger reactions to negative news. The study concludes with policy recommendations aimed at mitigating this volatility and enhancing the management of investor responses. Keywords: Trade war; Stock market; Volatility clustering; Asymmetry effect; GARCH model; EGARCH model; TGARCH model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025004988 DOI: 10.1016/j.iref.2025.104335 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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