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

Authors

  • Toan Luu Duc Huynh WHU - Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar, Germany. Email: toan.huynh@whu.edu.
  • Tobias Burggraf WHU - Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar, Germany.

DOI:

https://doi.org/10.17811/ebl.9.1.2020.21-30

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.

Author Biography

Toan Luu Duc Huynh, WHU - Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar, Germany. Email: toan.huynh@whu.edu.

Toan Luu Duc Huynh has published several papers on high-ranked journal (Journal of Enviornmental Management, IF 4.5 regarding financial development and environmental degradation), Journal of Risk and Financial Management, Review of Pacific Basin Financial Markets and Policies.

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Published

29-01-2020

How to Cite

Huynh, T. L. D., & Burggraf, T. (2020). If worst comes to worst: Co-movement of global stock markets in the US-China trade war. Economics and Business Letters, 9(1), 21–30. https://doi.org/10.17811/ebl.9.1.2020.21-30

Issue

Vol. 9 No. 1 (2020): March

Section

Articles

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