Proceedings of the 2025 3rd International Academic Conference on Management Innovation and Economic Development (MIED 2025)

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State-Dependent Asset Pricing under Trade Policy Uncertainty: Evidence from China and the U.S

Authors
Weiqi Lin1, *
1Finance, Jinan University, Guangzhou, 510000, China
*Corresponding author. Email: lin7373838@outlook.com
Corresponding Author
Weiqi Lin
Available Online 17 September 2025.
DOI
10.2991/978-94-6463-835-6_104How to use a DOI?
Keywords
Trade Policy Uncertainty; Asset Pricing; Markov Switching; Factor Exposure; Spillover Network
Abstract

In the context of rising geopolitical tensions and intensified China–U.S. trade frictions, trade policy uncertainty (TPU) has emerged as a critical driver of global market fluctuations. This paper investigates how TPU affects asset pricing mechanisms in China and the U.S. Based on monthly financial and policy data from 2015 to 2025, we construct a state-dependent analytical framework combining Diebold–Yilmaz spillover indices, Markov regime-switching models, and rolling Fama–French factor regressions. Results show that TPU significantly reshapes market structure by altering volatility regimes, factor exposures, and model explanatory power (R2). Notably, the transmission paths differ across countries: value factors dominate in China, while size factors are more prominent in the U.S. These findings offer insights into cross-market risk spillovers and the structural implications of policy uncertainty on pricing efficiency.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2025 3rd International Academic Conference on Management Innovation and Economic Development (MIED 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
17 September 2025
ISBN
978-94-6463-835-6
ISSN
2352-5428
DOI
10.2991/978-94-6463-835-6_104How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Weiqi Lin
PY  - 2025
DA  - 2025/09/17
TI  - State-Dependent Asset Pricing under Trade Policy Uncertainty: Evidence from China and the U.S
BT  - Proceedings of the 2025 3rd International Academic Conference on Management Innovation and Economic Development (MIED 2025)
PB  - Atlantis Press
SP  - 967
EP  - 974
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-835-6_104
DO  - 10.2991/978-94-6463-835-6_104
ID  - Lin2025
ER  -