US-China tension and stock market performance in US and China: New insights from time-varying quantile causality method

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-07-05 DOI:10.1016/j.frl.2025.107888

Cheng Peng , Huimin Deng , Jiaquan Xie , Xiang Liu

引用次数: 0

Abstract

Applying the time-varying quantile Granger causality framework, this study analyzes the impact of US-China Tension (UCT) on stock markets in the US and China, where both distributional heterogeneity and time-varying impact dynamics are identified. The empirical results are summarized as follows. Firstly, Chinese stock markets have stronger responsiveness to UCT relative to U.S. markets. Secondly, the UCT has a gradually increasing influence on Chinese stock markets, which exhibits the significant time-varying features. Thirdly, US stock market is more susceptible to positive news regarding US-China relations while showing delayed responses to deteriorating ties, demonstrating the asymmetric characteristic. Finally, the UCT reveals both the negative correlations and a counterintuitive positive relationship with Chinese stock markets.

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中美紧张局势与中美股市表现：时变分位数因果关系方法的新见解

本文运用时变分位数格兰杰因果关系框架，分析了中美紧张局势对中美两国股市的影响，发现了两国股市的分布异质性和时变影响动态。实证结果总结如下：首先，相对于美国市场，中国股市对UCT的反应更强。其次，UCT对中国股票市场的影响逐渐增强，且具有明显的时变特征。第三，美国股市更容易受到中美关系利好消息的影响，对中美关系恶化反应滞后，表现出不对称特征。最后，UCT揭示了与中国股市的负相关关系和反直觉的正相关关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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