特朗普时代关税对金融市场效率的影响
The Impact of Trump-Era Tariffs on Financial Market Efficiency
AI总结：
本研究应用多重分形去趋势波动分析，考察特朗普关税对六种主要金融资产市场效率的影响，发现COVID-19冲击显著，而关税影响较温和但可观测。
摘要：
本研究通过将多重分形去趋势波动分析应用于六种主要金融资产（标普500、上证指数、VIX、BTC/USD、EUR/USD和黄金）的收益率和绝对收益率时间序列，考察了特朗普时代关税对金融市场效率的影响。利用赫斯特指数 $h(2)$ 和多重分形强度，我们评估了市场动态对两次重大全球冲击——COVID-19大流行和2025年特朗普关税政策的实施——的响应。结果表明，COVID-19引起了赫斯特指数和多重分形强度的显著变化，特别是对于标普500、BTC/USD、EUR/USD和黄金。相比之下，特朗普关税的影响较为温和，但在所有考察的时间序列中仍可观察到。中国股市指数（上证指数）除了对国内刺激措施有独特反应外，基本上未受这两个事件的影响。此外，VIX表现出反持续性行为，$h(2) < 0.5$，与粗糙波动率框架一致。这些发现强调了多重分形分析在捕捉地缘政治和系统性冲击下市场效率结构性转变方面的有用性。
英文摘要：
This study examines the effects of Trump-era tariffs on financial market efficiency by applying multifractal detrended fluctuation analysis to the return and absolute return time series of six major financial assets: the S\&P 500, SSEC, VIX, BTC/USD, EUR/USD, and Gold. Using the Hurst exponent $h(2)$ and multifractal strength, we assess how market dynamics responded to two major global shocks: the COVID-19 pandemic and the implementation of the Trump tariff policy in 2025. The results show that COVID-19 induced substantial changes in both the Hurst exponent and multifractal strength, particularly for the S\&P 500, BTC/USD, EUR/USD, and Gold. In contrast, the effects of the Trump tariffs were more moderate but still observable across all examined time series. The Chinese market index (SSEC) remained largely unaffected by either event, apart from a distinct response to domestic stimulus measures. In addition, the VIX exhibited anti-persistent behavior with $h(2) < 0.5$, consistent with the rough volatility framework. These findings underscore the usefulness of multifractal analysis in capturing structural shifts in market efficiency under geopolitical and systemic shocks.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
