In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion … perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China stock … propose hypothesis test procedures. From the empirical study, we find evidence of financial contagion from the U.S. to China …

, the Gumbel copulas have higher dependence parameters, implying that extreme co-movements occur in the upper tails …

approach. The obtained results show strong evidence of a contagion effect between China and all countries except United States …