 Analysis of Co-movement in Asia-Pacific Stock Markets Against the Background of the US-China Trade WarJ Zhang and H Liu Economic Issues Journal Articles, 2024, vol. 29, issue 1, 35-69 Abstract: This paper employs event study methodology to investigate the impacts of the US-China trade war on stock market co-movements among the Chinese Mainland, Hong Kong, the US, Japan and Singapore, over the period from 3 January 2017 to 3 February 2023. It examines in particular the time-varying stock market co-movement at overall market level and specific sector level. The paper uses the day 6 July 2018 to separate the period into two stages, and identifies structural breaks and spillover patterns of cross-market co- movements at different phases. The empirical results indicate that stock market co-movements at overall market level among Asia-Pacific economies are significantly affected by news releases. The stock market co-movements among Asia-Pacific economies after 6 July 2018 are more sensitive to the news of the US-China trade war, which is particularly true in Communication Services and Industrials. The magnitudes of stock market co-movement between the US and Mainland China in Communication Services, Energy, Industrials and Healthcare tend to be lower because of decoupling. Keywords: US-China trade war; Asia-Pacific; Event study; Stock market co-movement (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:eis:articl:124zhang Access Statistics for this article More articles in Economic Issues Journal Articles from Economic Issues Contact information at EDIRC. |
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