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The U.S.-China trade war is increasingly having a significant impact on financial markets and the world economy. Based on the daily data from 2017 to June 2019, this paper carries out an empirical study on the mean spillover effect and volatility spillover effect of international crude oil prices and Sino-U.S. stock markets by adopting VAR model and multivariate BEKK-GARCH model. The results show that in terms of mean spillover effect, the trade war has not changed the linkage between Sino-U.S. stock markets and there is no notable spillover effect between international crude oil prices and Sino-U.S. stock markets. While in terms of volatility spillover effect, the impact of the trade war is evident in the risk contagion between international crude oil markets and Sino-U.S. stock markets. The volatility spillover effect between the international crude oil markets and the U.S. stock market is enhanced, while the volatility spillover effect between the Chinese stock markets is weakened. In addition, the risk contagion effect between Sino-U.S. stock markets has also undergone changes in varying degrees.

Study on the Linkage between Between International Crude Oil Price and Sino-U.S. Stock Market against Against the Backdrop of Trade War