Stock market trading volumes and economic uncertainty dependence: before and during Sino-U.S. trade friction

This article mainly studies the interaction between the economic uncertainty and stock market trading volumes changes before and during Sino-U.S. trade friction using multifractal detrended fluctuation analysis (M.F.-D.F.A.) and multifractal detrended cross-correlation analysis (M.F.-D.C.C.A.). Our research aims to reveal whether the economic uncertainty increased by Sino-U.S. trade friction affects stock market trading volume more susceptible, as well as how policymaker strengthen risk management and maintain financial stability. The results show that the dynamic volatility linkages between economic uncertainty and stock market trading volumes changes are multifractal, and the cross-correlation of volatility linkages are anti-persistent. Through the rolling-windows analysis, we also find that the economic uncertainty and trading volumes are anti-persistent dynamic cross-correlated. This means that while economic uncertainty increases, trading volume decreases. Besides, Sino-U.S. trade friction has impact on the cross-correlated behaviour significantly, suggesting that stock markets’ risks are relatively large and trading volumes changes are more susceptible by economic uncertainty during Sino-U.S. trade friction in the U.S. Our study complements existing literature about the stock markets trading volumes and economic uncertainty dependence relationship by multifractal theory’s methods. The overall findings imply that the increased economic uncertainty caused by Sino-U.S. trade friction exacerbates financial risks, which are useful for policymakers and investors.