Research on the Linkage Between the US and China Stock Markets in the Context of COVID-19 Based on the EMD Model
Journal of Physics: Conference Series
; 1948(1), 2021.
Article
in English
| ProQuest Central | ID: covidwho-1286528
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.
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Journal of Physics: Conference Series
Year:
2021
Document Type:
Article
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