2020
DOI: 10.17811/ebl.9.1.2020.21-30
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If worst comes to worst: Co-movement of global stock markets in the US-China trade war

Abstract: This paper investigates the co-movement characteristics of global stock markets in the context of the US-China trade war. By applying a set of different trivariate Copulas, our results suggest that markets co-move symmetrically in the pre-trade war period, but exhibit negative downside movements and heavy tails during the trade war. Furthermore, we find evidence for left-tail dependency structures during that period. Most importantly, this study finds that the trade war poses a systematic risk on global market… Show more

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Cited by 11 publications
(1 citation statement)
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“…Obviously, the analysis of interdependence of the US and China financial market is important for effective diversification in portfolio management. Evidence shows that the co-movement between the global stock market has increased during the China-US trade war [5]. Under the background of the trade war and the global pandemic, the growth of US-China co-movement is slow compared to the coalition of trading partners, but it does show a clearly strengthened connection between the US financial market and China's stock market, more specifically, Shanghai Composite Index (SHCI) and the U.S. financial markets including SP500, NASDAQ and US dollar indexes.…”
Section: Introductionmentioning
confidence: 99%
“…Obviously, the analysis of interdependence of the US and China financial market is important for effective diversification in portfolio management. Evidence shows that the co-movement between the global stock market has increased during the China-US trade war [5]. Under the background of the trade war and the global pandemic, the growth of US-China co-movement is slow compared to the coalition of trading partners, but it does show a clearly strengthened connection between the US financial market and China's stock market, more specifically, Shanghai Composite Index (SHCI) and the U.S. financial markets including SP500, NASDAQ and US dollar indexes.…”
Section: Introductionmentioning
confidence: 99%