Stock market trading volumes and economic uncertainty dependence: before and during Sino-U.S. trade friction

Figures & data

Figure 1. The basic framework of this study. Source: Authors' Design.

Table 1. Descriptive statistic for daily changes of D.J.I.A., S&P500 volumes and EPU, EMU.

		Mean	Min	Max	S.D.	JB test	ADF	Observation
Full	$\Delta$DJIA	−0.00	−0.94	0.68	0.14	3059.60*	−79.45*	2547
	$\Delta$SP500	−0.00	−0.84	0.54	0.12	4452.40*	−80.16*	2547
	$\Delta \mathit{EPU}$	−6.50	−291.72	351.78	53.45	1989.70*	−67.21*	2547
	$\Delta \mathit{EMU}$	−2.75	−841.71	845.62	65.82	130030.00*	−71.29*	2547
Before	$\Delta$DJIA	−0.00	−0.94	0.68	0.14	1805.20*	−67.01*	1881
	$\Delta$SP500	−0.00	−0.84	0.53	0.11	2834.50*	−67.32*	1881
	$\Delta \mathit{EPU}$	−6.08	−291.72	351.78	53.66	2106.10*	−56.34*	1881
	$\Delta \mathit{EMU}$	−2.61	−841.71	845.62	64.59	128150.00*	−60.00*	1881
During	$\Delta$DJIA	−0.00	−0.69	0.66	0.14	1263.40*	−42.61*	666
	$\Delta$SP500	−0.00	−0.67	0.54	0.12	1487.00*	−43.44*	666
	$\Delta \mathit{EPU}$	−7.67	−218.97	191.03	52.87	86.93*	−37.14*	666
	$\Delta \mathit{EMU}$	−3.15	−558.71	571.69	69.23	14547.00*	−38.38*	666

Note: ‘Min’, ‘Max’, ‘S.D.’ denote Maximum, Minimum, Standard Deviation, respectively. J.B. test denotes Jarque–Bera test. A.D.F. denotes Augmented Dickey-Fuller test.

*Denotes the rejection of the null hypothesis at the significance level of 5%.

Source: Authors’ calculations.

Figure 2. D.C.C.A. coefficient ${\rho }_{\mathit{DCCA}}$ between stock market volume changes and economic uncertainty changes with different Sino-U.S. trade friction periods ([a, b] full period, [c, d] before period, [e, f] during period). The black curve expresses the D.C.C.A. coefficient between daily D.J.I.A. stock market trading volume changes and economic market uncertainty changes, the red curve expresses the D.C.C.A. coefficient between daily D.J.I.A. stock market volume changes and economic policy uncertainty changes, and the blue curve denotes the D.C.C.A. coefficient of $\Delta$SP500-$\Delta \mathit{EMU},$ the yellow curve denotes the D.C.C.A. coefficient of $\Delta$SP500-$\Delta \mathit{EPU}.$

Source: Authors’ calculations.

Table 2. $H_{xy}\left(q\right)\mathrm{ }$ for volatility linkages of trading volumes changes and economic uncertainty.

	$\Delta$ DJIA-$\Delta \mathit{EPU}$			$\Delta$ SP500-$\Delta \mathit{EPU}$				$\Delta$ DJIA-$\Delta \mathit{EMU}$						$\Delta$ SP500-$\Delta \mathit{EMU}$
q	full	before	During	full	before	during		full		before		during		full		before		during
−10	0.3351	0.3523	0.3471	0.3669	0.3552	0.3300		0.4504		0.4630		0.4088		0.4668		0.4536		0.4110
−9	0.3264	0.3446	0.3388	0.3577	0.3486	0.3220		0.4397		0.4527		0.3862		0.4550		0.4530		0.3956
−8	0.3165	0.3356	0.3292	0.3470	0.3408	0.3127		0.4273		0.4409		0.3774		0.4412		0.4507		0.3680
−7	0.3051	0.3249	0.3182	0.3344	0.3315	0.3019		0.4130		0.4272		0.3669		0.4252		0.4364		0.3392
−6	0.2923	0.3121	0.3056	0.3193	0.3201	0.2892		0.3966		0.4116		0.3544		0.4065		0.4200		0.3288
−5	0.2780	0.2969	0.2912	0.3012	0.3059	0.2746		0.3780		0.3939		0.3393		0.3853		0.4011		0.3162
−4	0.2628	0.2792	0.2752	0.2800	0.2881	0.2579		0.3569		0.3742		0.3213		0.3615		0.3797		0.3010
−3	0.2475	0.2602	0.2576	0.2573	0.2674	0.2394		0.3335		0.3525		0.3002		0.3356		0.3560		0.2824
−2	0.2329	0.2430	0.2388	0.2368	0.2478	0.2195		0.3082		0.3297		0.2761		0.3082		0.3308		0.2600
−1	0.2189	0.2283	0.2190	0.2195	0.2312	0.1987		0.2820		0.3063		0.2493		0.2808		0.3053		0.2343
0	0.2054	0.2154	0.1985	0.2039	0.2159	0.1771		0.2558		0.2828		0.2203		0.2539		0.2800		0.2059
1	0.1920	0.2037	0.1771	0.1884	0.2011	0.1550		0.2293		0.2588		0.1897		0.2271		0.2538		0.1759
2	0.1788	0.1930	0.1547	0.1724	0.1867	0.1328		0.2011		0.2338		0.1581		0.1995		0.2257		0.1450
3	0.1661	0.1832	0.1309	0.1552	0.1726	0.1111		0.1710		0.2075		0.1264		0.1715		0.1959		0.1148
4	0.1545	0.1739	0.1071	0.1375	0.1588	0.0905		0.1414		0.1813		0.0963		0.1449		0.1667		0.0871
5	0.1443	0.1651	0.0856	0.1204	0.1456	0.0717		0.1151		0.1568		0.0696		0.1215		0.1403		0.0633
6	0.1357	0.1572	0.0673	0.1053	0.1335	0.0551		0.0934		0.1352		0.0469		0.1021		0.1179		0.0436
7	0.1284	0.1502	0.0519	0.0924	0.1226	0.0407		0.0760		0.1170		0.0281		0.0864		0.0994		0.0274
8	0.1222	0.1441	0.0390	0.0815	0.1131	0.0284		0.0621		0.1018		0.0125		0.0738		0.0842		0.0142
9	0.1169	0.1388	0.0280	0.0723	0.1049	0.0179		0.0507		0.0891		−0.0005		0.0635		0.0715		0.0032
10	0.1123	0.1341	0.0186	0.0645	0.0977	0.0090		0.0414		0.0784		−0.0114		0.0550		0.0610		−0.0059
$\Delta \mathit{H}$	0.2228	0.2182	0.3285	0.3024	0.2575	0.3210		0.4090		0.3846		0.4202		0.4118		0.3926		0.4169

Note: $\Delta H$ is the degree of multifractality.

Source: Authors’ calculations.

Figure 3. The Renyi exponent ${\tau }_{xy}\left(q\right)$ versus q for daily trading volume changes of stock markets and daily changes in two different measurement economic uncertainty. (a) denotes ${\tau }_{xy}\left(q\right)$ of $\Delta$DJIA-$\Delta \mathit{EPU}$ for different periods, (b) denotes ${\tau }_{xy}\left(q\right)$ of $\Delta$SP500-$\Delta \mathit{EPU}$ for different periods, (c) denotes ${\tau }_{xy}\left(q\right)$ of $\Delta$DJIA-$\Delta \mathit{EMU}$ for different periods, (d) denotes ${\tau }_{xy}\left(q\right)$ of $\Delta$SP500-$\Delta \mathit{EMU}$ for different periods. The blue curves denote the ${\tau }_{xy}\left(q\right)$ for the full period, the red curves denote the ${\tau }_{xy}\left(q\right)$ for the before-Sino-U.S. trade friction period, the black curves denote the ${\tau }_{xy}\left(q\right)$ for the during-Sino-U.S. trade friction period using M.F.-D.C.C.A.

Source: Authors’ calculations.

Figure 4. Nonlinear relationship of $f_{xy}\left(\alpha \right)$ versus $\alpha$ for daily stock market trading volume changes and daily changes of economic uncertainty movements. (a) denotes $f_{xy}\left(\alpha \right)$ versus $\alpha$ of $\Delta$DJIA-$\Delta \mathit{EPU}$ for different periods, (b) denotes $f_{xy}\left(\alpha \right)$ versus $\alpha$ of $\Delta$SP500-$\Delta \mathit{EPU}$ for different periods, (c) denotes $f_{xy}\left(\alpha \right)$ versus $\alpha$ of $\Delta$DJIA-$\Delta \mathit{EMU}$ for different periods, (d) denotes $f_{xy}\left(\alpha \right)$ versus $\alpha$ of $\Delta$SP500-$\Delta \mathit{EMU}$ for different periods. The blue, red, black curves denote $f_{xy}\left(\alpha \right)$ for the full period, the before-Sino-U.S. trade friction period, the during-Sino-U.S. trade friction period by M.F.-D.C.C.A., respectively.

Source: Authors’ calculations.

Table 3. Estimated parameters of the multifractal spectrum.

Time series	${\alpha }_{\mathit{min}}$	${\alpha }_{\mathit{max}}$	$\Delta \alpha$	${\alpha }_{\mathit{min}}$	${\alpha }_{\mathit{max}}$	$\Delta \alpha$	${\alpha }_{\mathit{min}}$	${\alpha }_{\mathit{max}}$	$\Delta \alpha$
	Full			Before			During
$\Delta$DJIA-$\Delta \mathit{EPU}$	0.0149	0.4228	0.4078	0.0367	0.4410	0.4044	−0.0759	0.4491	0.5250
$\Delta$DJIA-$\Delta \mathit{EMU}$	−0.1057	0.5066	0.6122	−0.0158	0.5737	0.5895	−0.0566	0.5575	0.6140
$\Delta$SP500-$\Delta \mathit{EPU}$	−0.0342	0.4699	0.5041	0.0025	0.4515	0.4490	−0.0854	0.4288	0.5142
$\Delta$SP500-$\Delta \mathit{EMU}$	−0.1070	0.5057	0.6128	−0.0342	0.5688	0.6030	−0.0454	0.5711	0.6166

Source: Authors’ calculations.