Dynamic correlation and extreme risk contagion in the U. S. - China semiconductor and electronics industries: evidence from the PHLX SOX and Shenwan Electronics Index

Against the backdrop of intensifying global technological competition and growing market uncertainty, the issues of risk contagion and interdependence between the semiconductor and electronics markets in China and the United States have attracted increasing attention. Based on the Philadelphia Semiconductor Index and the Shenwan Electronics Index, this study employs DCC-GARCH, BEKK-GARCH models, and Copula functions to examine the risk linkage and tail dependence characteristics of the two markets. The results indicate that: market interdependence exhibits significant time-varying features; the U.S. market has predictive power over the Chinese market; and tail risk dependence intensifies significantly under extreme conditions. Accordingly, this paper recommends strengthening regulatory coordination, optimizing market structures, and advancing industrial self-reliance.