Co-movements between China, US and Asian Stock Markets under US-China Trade War from Aggregate and Sectoral Perspective: An Approach of STC-GARCH Model

• Main Authors: WU, TZU-LIN, 吳芷霖
• Other Authors: HSIAO, JUNG-LIEH
• Format: Others
• Language: en_US
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/mtnq64

碩士 === 國立臺北大學 === 國際企業研究所 === 107 === This paper investigates STC-GARCH model for the impact of US-China trade war on the correlations between China and the US and Asian countries (Taiwan, Indonesia, Malaysia, Singapore, Thailand and Vietnam), including market level (CSI300, S&P500, TAIEX, JCI, KLCI, STI, SET and VNI) and sectoral level (Electrical Equipment, Auto Parts & Equipment, HealthCare Equipment, Communications Equipment, Technology Hardware, Storage & Peripherals, Semiconductors & Semiconductor Equipment and Electronic Equipment, Instruments & Components). The sample period of this study is from January 1, 2016 to March 29, 2019. The empirical results show that the aggregate and sectoral correlations between China and the US increase. Moreover, almost all occur structural changes at the critical events of US-China trade war. The correlations between China and Asian countries also increase in most cases and the structural changes happen in sectoral level more than in aggregate level. Thus, specific industries in Asia would be more vulnerable to the US-China trade war. In the sample period, we capture structural changes caused by other events, such as the North Korean crisis. Because of the increased correlation caused by the shocks, we confirm that China and Asia are closer and have contagion effect.