Impact of External Shocks on Global Major Stock Market Interdependence: Insights from Vine-Copula Modeling

Jiang Wenjing (), Hu Yue (), Xu Yicheng () and Miao Hanyu ()
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Jiang Wenjing: Faculty of Economics and Business Administration, Babeş-Bolyai University, Cluj-Napoca, Romania
Hu Yue: School of Science, Zhejiang University of Science and Technology, Hangzhou, China
Xu Yicheng: Faculty of Economics and Business Administration, Babeş-Bolyai University, Cluj-Napoca, Romania
Miao Hanyu: Faculty of Mathematics & Statistics, McMaster University, Hamilton, Canada

Economics - The Open-Access, Open-Assessment Journal, 2025, vol. 19, issue 1, 17

Abstract: This article investigates the dynamic changes in the interdependence structure and strength among ten financially significant stock markets across Asia, Europe, and the USA, in the context of recent global public health events and regional conflicts. Employing the Vine-Copula model, our analysis reveals that major events exert varying impacts on the interdependencies across different regions. The COVID-19 pandemic shifted European markets from a symmetric dependence structure to an asymmetric structure that is more sensitive to negative news. Conversely, the impact on Asian markets is the opposite, and the interdependence between China’s stock market and other major markets shows a decreasing trend. The Russia–Ukraine conflict has had minimal impact on stock markets, excluding Russia. Moreover, stock markets exhibit stronger co-movements during market downturns. Our research provides new insights into how global events impact stock market interdependencies and underscores the importance of region-specific strategies in managing financial risks and maintaining market stability.

Keywords: Vine-Copula; dynamic interdependence; tail dependence; global sudden events (search for similar items in EconPapers)
JEL-codes: C58 F36 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:econoa:v:19:y:2025:i:1:p:17:n:1002

DOI: 10.1515/econ-2025-0163

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