Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1758185
Stock market trading volumes and economic uncertainty dependence: before and during Sino-U.S. trade friction
Yuxin Cai
Yuyu Tao
Zhengxuan Yan
Sažetak
This article mainly studies the interaction between the economic
uncertainty and stock market trading volumes changes before
and during Sino-U.S. trade friction using multifractal detrended
fluctuation analysis (M.F.-D.F.A.) and multifractal detrended crosscorrelation
analysis (M.F.-D.C.C.A.). Our research aims to reveal
whether the economic uncertainty increased by Sino-U.S. trade
friction affects stock market trading volume more susceptible, as
well as how policymaker strengthen risk management and maintain
financial stability. The results show that the dynamic volatility
linkages between economic uncertainty and stock market trading
volumes changes are multifractal, and the cross-correlation of
volatility linkages are anti-persistent. Through the rolling-windows
analysis, we also find that the economic uncertainty and trading
volumes are anti-persistent dynamic cross-correlated. This means
that while economic uncertainty increases, trading volume
decreases. Besides, Sino-U.S. trade friction has impact on the
cross-correlated behaviour significantly, suggesting that stock
markets’ risks are relatively large and trading volumes changes
are more susceptible by economic uncertainty during Sino-U.S.
trade friction in the U.S. Our study complements existing literature
about the stock markets trading volumes and economic
uncertainty dependence relationship by multifractal theory’s
methods. The overall findings imply that the increased economic
uncertainty caused by Sino-U.S. trade friction exacerbates financial
risks, which are useful for policymakers and investors.
Ključne riječi
Volatility linkage; Sino-U.S. trade friction; stock market trading volumes; economic uncertainty
Hrčak ID:
254501
URI
Datum izdavanja:
9.2.2021.
Posjeta: 399 *