Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective.
In this article, to model risk contagion between the U.S. and China stock markets based on high-frequency financial data, we develop a novel continuous-time jump-diffusion process. For example, we consider three channels for volatility contagion—such as integrated volatility, positive jump variation...
| Publicado en: | Journal of Financial Econometrics Vol. 22; no. 4; pp. 954 - 1006 |
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| Autores principales: | , |
| Formato: | Artículo |
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Oxford University Press / USA
Fall2024
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=179375726&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 179375726 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14798409 T2Y jtl: Journal of Financial Econometrics issn: 14798409 maglogo: N pubinfo: dt: Fall2024 vid: 22 iid: 4 pid: 622 pub: Oxford University Press / USA artinfo: ui: 179375726 10.1093/jjfinec/nbad016 ppf: 954 ppct: 52 formats: tig: atl: Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective. aug: au: Oh, Minseog Kim, Donggyu affil: College of Business, Korea Advanced Institute of Science and Technology (KAIST) , Seoul 02455, South Korea su: China-United States relations International trade disputes Stocks (Finance) Jump processes Financial markets sug: subj: Investment Banking and Securities Dealing Securities and Commodity Exchanges China-United States relations International trade disputes Stocks (Finance) Jump processes Financial markets keyword: C13 C32 C55 C58 high-frequency financial data jump diffusion process realized volatility structural break C13 C32 C55 C58 high-frequency financial data jump diffusion process realized volatility structural break ab: In this article, to model risk contagion between the U.S. and China stock markets based on high-frequency financial data, we develop a novel continuous-time jump-diffusion process. For example, we consider three channels for volatility contagion—such as integrated volatility, positive jump variation, and negative jump variation—and each stock market is able to affect the other stock market as an overnight risk factor. We develop a quasi-maximum likelihood estimator for model parameters and establish its asymptotic properties. Furthermore, to identify contagion channels and test the existence of a structural break with a known structural break date, we propose hypothesis test procedures. Using the proposed diffusion model with high-frequency financial data, we investigate the effect of the U.S.–China trade war on stock markets from a financial contagion perspective. From the empirical study, we find evidence of financial contagion from the United States to China and evidence that the risk contagion channel has changed from integrated volatility to negative jump variation. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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