International Economic Cooperation and Stock Market Activity

Changes in international economic cooperation may be reflected in trading activity even when returns do not give a clear signal. This letter uses EDSI, an external daily measure of China’s international economic cooperation intensity, and combines it with A-share trading-volume data. Lower EDSI values indicate weaker cooperation intensity and are associated with more active trading. In same-day regressions, a one-standard-deviation decline in EDSI is associated with a 0.08 standard-deviation increase in the composite A-share activity index and a 0.11 standard-deviation increase in CSI 1000 activity. The relationship remains visible in a one-day-ahead regression and in three robustness checks: an alternative activity index based on CSI 1000 and CSI 300 volume, no winsorization, and exclusion of 2020. A controlled VAR provides modest timing evidence: lagged EDSI predicts the activity index at the 10% level, while lagged activity adds little predictive content for EDSI. The results point to a short-run increase in trading consistent with investor attention and portfolio rebalancing, with little evidence of a persistent change in market activity.