Jesus asked this question, What do you think of the Christ? Whose son is he?” The Pharisees said, "the son of David"
41 Now while the Pharisees were gathered together, Jesus asked them a question, 42 saying, “What do you think of the Christ? Whose son is he?” They said to him, “The son of David.” 43 He said to them, “How is it then that David, inspired by the Spirit, calls him Lord, saying,
44 ‘The Lord said to my Lord,
Sit at my right hand,
till I put thy enemies under thy feet’?
45 If David thus calls him Lord, how is he his son?” 46 And no one was able to answer him a word, nor from that day did any one dare to ask him any more questions. Mt. 22: 41-45
So here Jesus is saying the Christ is not David's son because David himself calls him Lord.
Jesus was the Christ, the Son of the living God, and God was his Father. To say he was a Jew is to bring him down to our level. But it is written in the prophets, "And they shall be taught by God." To say he was a Jew is to subject him to their authority. But in fact the Father gave him all authority in heaven and on earth.
Matthew 28:18
And Jesus came and said to them, “All
authority in heaven and on earth has been
given to me.
'The King of the Jews' is what the Jews charged him with saying. John 19:20-22 But Jesus said, "My kingship is not of this world"
"Pilate entered the praetorium again and called Jesus, and said to him, “Are you the King of the Jews?” 34 Jesus answered, “Do you say this of your own accord, or did others say it to you about me?” 35 Pilate answered, “Am I a Jew? Your own nation and the chief priests have handed you over to me; what have you done?” 36 Jesus answered, “My kingship is not of this world; if my kingship were of this world, my servants would fight, that I might not be handed over to the Jews; but my kingship is not from the world.” 37 Pilate said to him, “So you are a king?” Jesus answered, “You say that I am a king. For this I was born, and for this I have come into the world, to bear witness to the truth. Every one who is of the truth hears my voice.” 38 Pilate said to him, “What is truth?” John 18:33-38
Jesus was the Son of God; conceived by the Spirit of God, and not of this world.