ABSTRACT
Using the COVID-19 and the Sino-US trade war as the background, the data of the stock markets in China and the US from March 1, 2017 to September 11, 2020 are divided into 3 phases, and the high-frequency return series are extracted by empirical mode decomposition algorithm, excluding the interference of the medium-frequency data and low-frequency data. The DCC-GARCH model is used to analyze the China-US stock market linkage in the 3 phases, and the results show that: both the China-US trade war and the COVID-19 have a significant impact on the China-US stock market linkage. The Sino US trade war makes the linkage of Sino US stock market decline in the short term, while The COVID-19 made the relationship between China and the United States present an inverted “U” shape of first rising and then falling.