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If worst comes to worst: Co-movement of global stock markets in the US-China trade war


  • Toan Luu Duc Huynh
  • Tobias Burggraf


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 markets, which potentially can trigger simultaneous market downside trends. Our results are robust across different European equity market indices.

Suggested Citation

  • Toan Luu Duc Huynh & Tobias Burggraf, 2020. "If worst comes to worst: Co-movement of global stock markets in the US-China trade war," Economics and Business Letters, Oviedo University Press, vol. 9(1), pages 21-30.
  • Handle: RePEc:ove:journl:aid:13958

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    Cited by:

    1. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Nguyen, Sang Phu & Duong, Duy, 2020. "An assessment of contagion risks in the banking system using non-parametric and Copula approaches," Economic Analysis and Policy, Elsevier, vol. 65(C), pages 105-116.

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