Research on the Linkage Between the US and China Stock Markets in the Context of COVID-19 Based on the EMD Model

Using the COVID-19 and Sino-US trade war as background, data of stock markets in China US from March 1, 2017 to September 11, 2020 are divided into 3 phases, high-frequency return series extracted by empirical mode decomposition algorithm, excluding interference medium-frequency low-frequency data. The DCC-GARCH model is used analyze China-US market linkage results show that: both have a significant impact on linkage. Sino makes decline short term, while made relationship between United States present an inverted "U" shape first rising then falling.