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...

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Bibliographic Details

Published in:	Journal of Financial Econometrics Vol. 22; no. 4; pp. 954 - 1006
Main Authors:	Oh, Minseog, Kim, Donggyu
Format:	Article
Published:	Oxford University Press / USA Fall2024
Subjects:	China-United States relations International trade disputes Stocks (Finance) Jump processes Financial markets
Online Access:	View this record in EBSCOhost