美国是全球最大的金融市场，中国与其有着较为密切的经济和贸易往来。本文重点研究中美金融市场联动性在中美贸易战以及新冠肺炎疫情等重大事件背景下的变化。为了更好地刻画中美金融市场，本文以2017年3月1日至2023年2月28日之间上证指数、恒生指数、道琼斯指数、美元指数的收益率序列作为研究对象，利用经验模态分解的方法获取四个指数的高频收益率序列，在此基础上建立DCC-GARCH模型分析中美金融市场的动态相关性变化，并利用指数之间存在的中介效应，进行因果关系的分析。结论为中美金融市场之间存在正相关性，此外由动态相关系数的最大值和最小值对应的日期发现，新冠疫情的传播对相关性系数有着很大影响，且对美国与中国金融市场，美国与中国香港金融市场的相关性影响结果同方向。香港金融市场在中美金融市场影响关系中存在中介效应，美国金融市场主要通过香港金融市场进一步影响中国金融市场。

The United States is the world's largest financial market, and China has relatively close economic and trade exchanges with it. This paper focuses on the changes in the linkage of financial markets between China and the United States in the context of major events such as the Sino-US trade war and the COVID-19 pandemic. In order to better characterize the financial markets in China and the United States, this article covers the period from March 1, 2017 to February 28，2023, the yield series of the Shanghai Composite Index, the Hang Seng Index, the Dow Jones Index and the US Dollar Index were used as the research object, and the high-frequency yield series of the four indexes were obtained by the method of empirical mode decomposition, and on this basis, the DCC-GARCH model was established to analyze the dynamic correlation changes of the Chinese and American financial markets. And use the mediating effect between the indices to analyze the causal relationship. The conclusion is that there is a positive correlation between the Chinese and American financial markets. In addition, it is found from the dates corresponding to the maximum and minimum values of the dynamic correlation coefficient that the spread of the COVID-19 pandemic has a great impact on the correlation coefficient, and the correlation effect results of the financial markets of the United States and China, and the financial markets of the United States and Hong Kong, are in the same direction. The Hong Kong financial market has an intermediary effect in the relationship between the Sino-US financial market, and the US financial market mainly further affects the Chinese financial market through the Hong Kong financial market.