Author(s): Ziping Wang

Abstract: Since 2017, Sino-US trade frictions have continued, while international crude oil prices have fluctuated sharply, and China's crude oil procurement is faced with greater risk of price fluctuations. This paper uses the EGARCH model to study the impact of Sino-US trade frictions on oil prices, and finds that intensified trade events significantly reduce oil price returns and increase the volatility of oil prices, but moderating trade events have no significant impact on oil prices. The impact of intensified trade events on oil prices has the feature of mean recovery. The yield of oil prices decreases most on the first day but recovers to the original level on the third day. Moreover, moderating trade events have no significant dynamic impact on oil prices. The research results of this paper show that there is a leverage effect on the impact of sino-US trade friction on oil prices, that is, negative news has a greater impact on the price than positive news. Further analysis shows that sino-US trade frictions affect oil prices mainly through the mechanism of market sentiment.

Keywords: Sino-US trade frictionï¼›oil priceï¼›market sentimentï¼›event study

Article Info: Received: 29 Jun 2023; Received in revised form: 31 Jul 2023; Accepted: 06 Aug 2023; Available online: 14 Aug 2023

DOI: 10.22161/ijels.84.25