Analysis of the financial markets during the trade war between China and the United States
This document aims to analyze the impact on the volatility of financial markets, product of the trade war waged by the United States and China, using DCC-MGARCH heteroscedastic models of dynamic correlation for 12 world stock indices (United States, Colombia, Brazil, Chile, Mexico, Peru, England, Ge...
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| Lenguaje: | español |
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Universidad Francisco de Paula Santander
2020
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| Acceso en línea: | https://revistas.ufps.edu.co/index.php/profundidad/article/view/2514 |
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| _version_ | 1868458525907222528 |
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| author | Salcedo - Mayorga, Jorge Mario |
| author_browse | Salcedo - Mayorga, Jorge Mario |
| author_facet | Salcedo - Mayorga, Jorge Mario |
| author_sort | Salcedo - Mayorga, Jorge Mario |
| collection | DSPACE IDEP |
| description | This document aims to analyze the impact on the volatility of financial markets, product of the trade war waged by the United States and China, using DCC-MGARCH heteroscedastic models of dynamic correlation for 12 world stock indices (United States, Colombia, Brazil, Chile, Mexico, Peru, England, Germany, China, Japan, South Africa and China). The results confirm that the volatility of the 12 markets has increased during 2019, as a result of the announcements made by Donald Trump, regarding the imposition of tariffs on Chinese imported goods. On the other hand, it is observed that the degree of integration in stock market terms of the countries worldwide with respect to China (Shanghai Stock Exchange Composite Index) is relatively low, registering dynamic correlations between 0.20 and 0.40, values that are far from the correlations against United States (S & P500), which fluctuate in a range between 0.30 and 0.60. Lastly, it can be detailed that although the volatility caused by the trade war affects the behavior of the stock indices, it does not manage to generate the records seen in the subprime crisis of 2008 or debt in Europe for 2011-2012. |
| first_indexed | 2026-06-19T15:28:27Z |
| format | Online |
| id | oai:revistas.ufps.edu.co:article-2514 |
| institution | IDEP |
| language | spa |
| last_indexed | 2026-06-19T15:28:27Z |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | Universidad Francisco de Paula Santander |
| publisherStr | Universidad Francisco de Paula Santander |
| record_format | ojs |
| spelling | oai:revistas.ufps.edu.co:article-25142023-09-04T14:22:53Z Analysis of the financial markets during the trade war between China and the United States Análisis de los mercados financieros durante la guerra comercial entre China y Estados Unidos Salcedo - Mayorga, Jorge Mario Econometría Financiera Guerra Comercial Mercados financieros Series de Tiempo Volatilidad This document aims to analyze the impact on the volatility of financial markets, product of the trade war waged by the United States and China, using DCC-MGARCH heteroscedastic models of dynamic correlation for 12 world stock indices (United States, Colombia, Brazil, Chile, Mexico, Peru, England, Germany, China, Japan, South Africa and China). The results confirm that the volatility of the 12 markets has increased during 2019, as a result of the announcements made by Donald Trump, regarding the imposition of tariffs on Chinese imported goods. On the other hand, it is observed that the degree of integration in stock market terms of the countries worldwide with respect to China (Shanghai Stock Exchange Composite Index) is relatively low, registering dynamic correlations between 0.20 and 0.40, values that are far from the correlations against United States (S & P500), which fluctuate in a range between 0.30 and 0.60. Lastly, it can be detailed that although the volatility caused by the trade war affects the behavior of the stock indices, it does not manage to generate the records seen in the subprime crisis of 2008 or debt in Europe for 2011-2012. El presente documento busca analizar la incidencia en la volatilidad de los mercados financieros, producto de la guerra comercial que libran Estados Unidos y China, haciendo uso modelos heterocedásticos de correlación dinámica DCC-MGARCH para 12 índices bursátiles del mundo (Estados Unidos, Colombia, Brasil, Chile, México, Perú, Inglaterra, Alemania, China, Japón, Sur África y China). Los resultados confirman que la volatilidad de los 12 mercados se ha incrementado durante el 2019, producto de los anuncios realizados por Donald Trump, respecto a la imposición de aranceles a bienes importados chinos. Por otra parte, se observa que el grado de integración en términos bursátiles de los países a nivel mundial respecto a China (Shanghai Stock Exchange Composite Index) es relativamente baja, registrando correlaciones dinámicas entre 0.20 y 0.40, valores que distan de las correlaciones frente a Estados Unidos (S&P500), las cuales fluctúan en un rango entre 0.30 y 0.60. Por último, se puede detallar que si bien la volatilidad producto de la guerra comercial, afecta el comportamiento de los índices bursátiles no llega a generar los registros vistos en la crisis subprime de 2008 o de la deuda en Europa para 2011-2012. Universidad Francisco de Paula Santander 2020-01-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf text/html text/xml https://revistas.ufps.edu.co/index.php/profundidad/article/view/2514 10.22463/24221783.2514 Revista Científica Profundidad Construyendo Futuro; Vol. 12 No. 12 (2020): Enero-Junio; 2-11 Revista Científica Profundidad Construyendo Futuro; Vol. 12 Núm. 12 (2020): Enero-Junio; 2-11 2422-2518 spa https://revistas.ufps.edu.co/index.php/profundidad/article/view/2514/3462 https://revistas.ufps.edu.co/index.php/profundidad/article/view/2514/3715 https://revistas.ufps.edu.co/index.php/profundidad/article/view/2514/3716 /*ref*/Baumöhl, E., Lyócsa, Š., y Výrost, T. (2011). 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(1989). Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships. Journal of Banking and Finance. https://doi.org/10.1016/0378-4266(89)90034-4 /*ref*/Yang, S.-Y. (2005). A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers. Applied Financial Economics Letters. https://doi.org/10.1080/17446540500054250 Derechos de autor 2020 Revista Científica Profundidad Construyendo Futuro https://creativecommons.org/licenses/by-nc/4.0 |
| spellingShingle | Econometría Financiera Guerra Comercial Mercados financieros Series de Tiempo Volatilidad Salcedo - Mayorga, Jorge Mario Analysis of the financial markets during the trade war between China and the United States |
| title | Analysis of the financial markets during the trade war between China and the United States |
| title_alt | Análisis de los mercados financieros durante la guerra comercial entre China y Estados Unidos |
| title_full | Analysis of the financial markets during the trade war between China and the United States |
| title_fullStr | Analysis of the financial markets during the trade war between China and the United States |
| title_full_unstemmed | Analysis of the financial markets during the trade war between China and the United States |
| title_short | Analysis of the financial markets during the trade war between China and the United States |
| title_sort | analysis of the financial markets during the trade war between china and the united states |
| topic | Econometría Financiera Guerra Comercial Mercados financieros Series de Tiempo Volatilidad |
| topic_facet | Econometría Financiera Guerra Comercial Mercados financieros Series de Tiempo Volatilidad |
| url | https://revistas.ufps.edu.co/index.php/profundidad/article/view/2514 |
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