An Empirical Study On The Linkage Effect Between Chinese Stock Market And American Stock Market Under The Background Of Sino-American Trade Friction

China’s stock market and the U.S.stock market have always been important indicators of the macro-economy,the two closely linked to continue to receive attention.It is generally believed that the rise in the US stock market means inflation,and in an inflationary period,the Chinese stock market is regarded as a natural anti-inflation asset and helps to withstand the risk of international macroeconomic fluctuations.After the world economic crisis in 2008,the global financial assets are increasingly linked,and the world financial markets are more efficient and developed.In today’s complex financial market environment,whether the relationship between the US stock market and the Chinese stock market is still worthy of verification and research as described in previous studies.This paper reviews the references on the relationship between U.S.stock market and Chinese stock market,and discusses the relationship between U.S.stock market and Chinese stock market.Then we use VAR regression model and Granger test to study the average and volatility spillover effect between Chinese stock market and American stock market,and analyze the dynamic relationship between American and Chinese stock markets.Because of the complex relationship between Chinese stock market and American stock market,this paper uses the data from 2010 to 2020 to show the relationship between them.Through empirical analysis,this paper draws the following three conclusions:First,in the sample interval from 2010 to 2020,the U.S.stock market and Shanghai stock market changes in China are not each other’s Granger reasons.In the increasingly efficient financial market,it is difficult to find a stable lead-lag relationship between Chinese stock market and American stock market.Ⅱ、There is a spillover effect between the volatility of the US stock market and the SSE Chinese stock market,indicating that,in most periods,increased uncertainty in the US stock market(Chinese stock market)will increase the uncertainty in the Chinese stock market(US stock market),and it cannot be simply assumed that the Chinese stock market can withstand the risks brought by the volatility in the US stock market.The risk linkage characteristics of major assets in the global financial industry are obvious.Ⅲ、Compared with the previous empirical results,the empirical results support the view that there is no clear causal relationship between the Chinese stock market and the US stock market.The above conclusion is still valid after extending the sample to 2001-2020.During the period of trade friction in 2020,there is no obvious structural change in the characteristics of the price fluctuation of the Chinese stock market and the US stock market.Based on the rolling Granger test,this paper inferred that the one-way Granger causality between Chinese stock market and U.S.stock market is probably generated by the sample interval.