关键词: 信息指数模型, 溢出效应, 中美贸易战, 股票市场

Abstract: Based on the Sino-US trade war, this paper studies the dynamic spillover effects of the American stock market, the Chinese A-share market and the Hong Kong stock market. The static and dynamic methods of information index model and DAG-SEM model are used to measure the direction, intensity, and dynamic process of information spillover of volatility between markets. It is found that during the trade war, the spillover intensity between the stock markets of the two countries and domestic sub-markets increases. There is a two-way information spillover between the Chinese mainland stock market and the US stock market, and the “direction alternation” between the S&P 500 index and the CSI 300 index is more than the Dow Jones index and the CSI 300 index. In particular, in the white-hot stage of the trade war, that is, from the second half of 2018 to the first half of 2019, the information spillover of the Chinese mainland stock market to the Hong Kong stock market is stronger than that of the American stock market, becoming the main conductor of Hong Kong stock information spillover.

Key words: information index model, spillover effect, Sino-US trade war, stock market