中美贸易摩擦下工业股指波动性研究

A Research about Effects China-US Trade War Has on Industrial Index Volatility

摘要: 选取2017年1月1日至2018年11月9日的工业指数作为样本数据，建立EGARCH模型并引入虚拟变量研究中美贸易摩擦对中国工业股指波动性的影响。结果显示：1) 中美贸易摩擦对于工业行业股指短期波动影响剧烈，总体波动平均增加13.7%。2) 中美贸易摩擦对工业指数波动性影响的持续性有限，原有因素依然占据主导地位。

Abstract: We select logarithmic ratio of industrial index during the period between 1st January, 2017 and 9th November, 2018 as sample data, establish EGARCH model including dummy variable and analyze the effect of China-US trade war has on the industrial stock market volatility. The results indicate that: 1) The China-US trade war has strong instant effect on industrial stock market volatility and volatility raised by 13.7% averagely. 2) The persistence of the impact of China-US trade war is li-mited. The industrial stock market volatility is mainly affected by old factors far more than the new one from trade conflict.