The Spillover Effect of Chinese Market Volatility on US Technology Stocks.

Abstract

Volatility shocks originating in China’s equity markets increasingly reverberate across global technology sectors, yet the magnitude and timing of these spillovers to U.S. firms remain poorly quantified. This study examines how swings in the Shanghai Composite and CSI 300 indices propagate to the share prices of 25 U.S. technology companies that derive at least 10 % of revenue from mainland China. Daily price data spanning 2010 – 2024 are merged with firm-level revenue exposure and analyzed using vector autoregression, Granger causality tests, and event-window techniques around 42 major Chinese market shocks. Results show that a 1 % negative innovation to the Shanghai Composite leads, on average, to a 0.33 % decline in high-exposure U.S. tech stocks within two trading days (p < 0.01), explaining up to 14 % of their return variance, compared with 4 % for low-exposure peers. Impulse-response functions reveal that the effect dissipates after six days, while variance-decomposition indicates that Chinese volatility accounts for 27 % of forecast error variance during tariff-escalation periods. These findings suggest investors systematically price Chinese macro-risk into U.S. technology valuations, underscoring the need for portfolio hedging and corporate diversification of revenue streams.