| 摘要: |
| 始于2018年3月份的美中贸易冲突，导致了中美两国主要股票指数巨幅震荡。本文基于GARCH 模型的研究，发现上证指数和道琼斯指数收益率均存在条件异方差效应，道指收益率对不同性质消息的反应存在非对称性，负面消息对道指的影响会溢出到上证指数，持续约4期。因此，对内全面深化改革，对外开拓新的市场，降低对美出口的依赖，是我国应对这场贸易冲突的主要对策。 |
| 关键词: 股指收益率；ARCH效应；非对称性；溢出效应 |
| DOI： |
| 分类号:F830.9 |
| 基金项目:本文受上海电机学院重点课程《投资学》建设项目的资助。 |
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| Abnormal Volatility, Leverage and Spillover Effect of Stock Index Return—— Data since the U.S. China Trade Conflict |
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HOU She-hong
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School of Business,Shanghai Dianji University
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| Abstract: |
| The U.S.China trade conflict since 2018 March,has led to a huge fluctuation in China and the United States major stock indexes.Based on the GARCH model,this paper finds both the Shanghai index and Dow Jones Index yield have conditional heteroscedasticity effects;Dow Index has leverage effect to different news,the influence of negative news on Dow Jones will spill over to the shanghai index for about 4 periods.Pushing on an all-round domestic reform,exploiting new markets abroad and reducing the dependence on exports to US are our main strategies for this trade conflict. |
| Key words: Stock Index Return;ARCH;Asymmetry；Spillover Effect |
