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The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach

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  • Chen, Yanhua
  • Pantelous, Athanasios A.

Abstract

We explore how the U.S.-China trade conflict impacted the Chinese and U.S. stock markets at industry level. Employing a transfer entropy-based technique, the directional non-linear information transmission networks respectively composed of 56 Chinese and 49 U.S. industries are constructed. Then, we identify systemically important industries and transmission paths by implementing the maximum spanning tree approach. Chinese industries exhibit more exposure to the trade tensions when compared to the U.S. counterparts. Results highlight industries of public utilities, industrial equipment manufacturing, and financials playing a dominant role in China’s stock market, while financials, mining and quarrying, retail trade, and manufacturing have central role in the U.S.

Suggested Citation

  • Chen, Yanhua & Pantelous, Athanasios A., 2022. "The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach," Finance Research Letters, Elsevier, vol. 46(PB).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004621
    DOI: 10.1016/j.frl.2021.102486
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    More about this item

    Keywords

    2018-20 U.S.-China trade war; Stock market; Economic industry; Non-linear information spillover;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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