|Title: ||If Worst comes to worst: co-movement of global stock markets in the US-China trade war
||Author(s): ||Toan Luu Duc Huynh
||Keywords: ||Trade war; Co-movement; Copulas; Market reaction
||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 markets, which potentially can trigger simultaneous market downside trends. Our results are robust across different European equity market indices.
||Issue Date: ||2020
||Publisher: ||Universidad de Oviedo,Oviedo University Press
||Series/Report no.: ||Vol. 9, No. 1
|Appears in Collections:||INTERNATIONAL PUBLICATIONS|