The Impact Of The Sino-US Trade War Information Release On China’s Stock Market Price

In recent years,with the gradual deepening of trade exchanges between China and the United States,trade conflicts between the two countries have become more frequent.The successive introduction of tariff increase policies has led to abnormal fluctuations in China’s stock market.Since the outbreak of the Sino-US trade war in 2018,the information related to the trade war has had a negative impact on Chinese enterprises to a certain extent,affecting the stock prices of relevant listed companies and the stability of the stock market.This paper combs the relevant theories of information impact and investor sentiment,theoretically analyzes the impact of Sino-US trade war on China’s stocks prices and its mechanism,and believes that the information of Sino-US trade war will bring a negative impact on the stock price,and this impact is transmitted to the stock market through investor sentiment.To test and verify the correctness of analysis mentioned before,this paper studies the impact of Sino-US trade war on the whole stock market price and related individual stock prices in the empirical part.Therefore,the study of the impact of the information release of Sino-US trade war on the price of China’s stock market has certain reference significance for the government,regulators enterprises and investors.This paper studies the impact of the information release of the Sino-US trade war on both overall stock market and the prices of related stocks.Firstly,based on high-frequency data,identify the variable of information impact through nonparametric methods,build models of Probit and EGARCH,and empirically study the relationship between Sino-US trade war information and stock index price and the fluctuation characteristics of stock index price.The research finds that:(1)The release of Sino-US trade war information significantly causes stock index price to jump,the information of easing trade relations will promote the rise of stock index return,while the information of deteriorating trade relations will lead to the decline of stock index return.(2)The impact of trade war information on stock index price is limited to the first trading day,and is weakening with the passage of time.(3)From the perspective of yield fluctuation,it is found that there is a negative asymmetry in the response of stock index to the information of Sino-US trade war.In order to verify the robustness of the results,we further analyze the impact of Sino-US trade war information release on the prices of related stocks by constructing a DID model and intermediary effect model.The following conclusions are drawn:(1)The Sino-US trade war information has significantly caused the price fluctuation of relevant stocks,and has a negative impact on the stock price return.(2)By testing the lag effect of Sino-US trade war information release,it is found that Sino-US trade war information will cause sustained fluctuations in individual stock prices,but has no sustained impact on individual stock returns.(3)Further discussing the transmission mechanism of Sino-US trade war information release on stock price return and volatility,it is found that the impact of Sino-US trade war information release on stock price return and volatility is mainly transmitted by affecting investor sentiment,investor confidence and attention to listed companies.