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

Autores/as

  • 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

Resumen

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.

Biografía del autor/a

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.

Citas

Aloui, C. (2011). Latin american stock markets' volatility spillovers during the nancial crises:

a multivariate aparch-dcc framework. Macroeconomics and Finance in Emerging Market

Economies, 4(2):289{326.

Arouri, M., M'saddek, O., Nguyen, D. K., and Pukthuanthong, K. (2019). Cojumps and asset

allocation in international equity markets. Journal of Economic Dynamics and Control, 98:1{22.

Baumohl, E. and Shahzad, S. J. H. (2019). Quantile coherency networks of international stock

markets. Finance Research Letters, 31:119{129.

Boako, G., Tiwari, A. K., Ibrahim, M., and Ji, Q. (2018). Analysing dynamic dependence between

gold and stock returns: Evidence using stochastic and full-range tail dependence copula models.

Finance Research Letters.

Choi, N., Fedenia, M., Skiba, H., and Sokolyk, T. (2017). Portfolio concentration and performance

of institutional investors worldwide. Journal of Financial Economics, 123(1):189{208.

Dimitrios Asteriou, A. S. (2016). Political instability and stock market returns: Evidence from

oecd countries evidence from oecd countries. Economics and Business Letters, 5(4):113{124.

Jin, X. (2016). The impact of 2008 nancial crisis on the eciency and contagion of asian stock

markets: A hurst exponent approach. Finance Research Letters, 17:167{175.

Malliaris, A. G. and Urrutia, J. L. (1992). The international crash of october 1987: causality tests.

Journal of Financial and Quantitative Analysis, 27(3):353{364.

Pentec^ote, J.-S., Poutineau, J.-C., and Rondeau, F. (2015). Trade integration and business cycle

synchronization in the emu: the negative eect of new trade

ows. Open Economies Review,

(1):61{79.

Rivieccio, G. and De Luca, G. (2016). Copula function approaches for the analysis of serial and

cross dependence in stock returns. Finance Research Letters, 17:55{61.

Rodriguez, J. C. (2007). Measuring nancial contagion: A copula approach. Journal of empirical

nance, 14(3):401{423.

Sakemoto, R. (2018). The intertemporal relation between expected returns and conditional correlations

between precious metals and the stock market. Economics and Business Letters, 7(1).

Yarovaya, L. and Lau, M. C. K. (2016). Stock market comovements around the global nancial

crisis: Evidence from the uk, brics and mist markets. Research in International Business and

Finance, 37:605{619.

Descargas

Publicado

2020-01-29

Cómo citar

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

Número

Vol. 9 Núm. 1 (2020): March

Sección

Artículos

Licencia

The works published in this journal are subject to the following terms:

1. Oviedo University Press (the publisher) retains the property rights (copyright) of published works, and encourages and enables the reuse of the same under the license specified in paragraph 2.

© Ediuno. Ediciones de la Universidad de Oviedo / Oviedo University Press

2. The works are published in the online edition of the journal under a Creative Commons Attribution-Non Commercial-Non Derives 3.0 Spain (legal text). You can copy, use, distribute, transmit and publicly display, provided that: i) you cite the author and the original source of publication (journal, publisher and URL of the work), ii) they are not used for commercial purposes, iii) mentions the existence and specifications of this license.

3. Conditions of self-archiving. The author can archive the post-print version of the article (publisher’s version) on the author’s personal website and/or on the web of  the institution where he belong, including a link to the page of the journal and putting the way of citation of the work. Economics and Business Letters and its URL https://reunido.uniovi.es/index.php/EBL/index are the only authorized source for correctly giving the reference of the publisher’s version in every mention of the article.