Juan Zhang, Hua’ao Liu. (2024). Analysis of Co-movement in Asia-Pacific Stock Markets Against the Background of the US-China Trade War. Economic Issues, Vol. 29, Part 1, pp. 36-69.

Abstract: This paper employs event study methodology to investigate the impacts of the US-China trade war on stock market co-movements among the Chinese Mainland, Hong Kong, the US, Japan and Singapore, over the period from 3 January 2017 to 3 February 2023. It examines in particular the time-varying stock market co-movement at overall market level and specific sector level. The paper uses the day 6 July 2018 to separate the period into two stages, and identifies structural breaks and spillover patterns of cross-market comovements at different phases. The empirical results indicate that stock market co-movements at overall market level among Asia-Pacific economies are significantly affected by news releases. The stock market co-movements among Asia-Pacific economies after 6 July 2018 are more sensitive to the news of the US-China trade war, which is particularly true in Communication Services and Industrials. The magnitudes of stock market co-movement between the US and Mainland China in Communication Services, Energy, Industrials and Healthcare tend to be lower because of decoupling.