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Analysis of Co-movement in Asia-Pacific Stock Markets Against the Background of the US-China Trade War

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  • J Zhang
  • H Liu

Abstract

This paper employs event study methodology to investigate the impacts of the US-China trade war on stock market co-movements among the Chinese Mainland, Hong Kong, the US, Japan and Singapore, over the period from 3 January 2017 to 3 February 2023. It examines in particular the time-varying stock market co-movement at overall market level and specific sector level. The paper uses the day 6 July 2018 to separate the period into two stages, and identifies structural breaks and spillover patterns of cross-market co- movements at different phases. The empirical results indicate that stock market co-movements at overall market level among Asia-Pacific economies are significantly affected by news releases. The stock market co-movements among Asia-Pacific economies after 6 July 2018 are more sensitive to the news of the US-China trade war, which is particularly true in Communication Services and Industrials. The magnitudes of stock market co-movement between the US and Mainland China in Communication Services, Energy, Industrials and Healthcare tend to be lower because of decoupling.

Suggested Citation

  • J Zhang & H Liu, 2024. "Analysis of Co-movement in Asia-Pacific Stock Markets Against the Background of the US-China Trade War," Economic Issues Journal Articles, Economic Issues, vol. 29(1), pages 35-69, March.
    • Handle: RePEc:eis:articl:124zhang
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    More about this item

    Keywords

    US-China trade war; Asia-Pacific; Event study; Stock market co-movement;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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