Abstract
The US stock market collapse of 2020 was caused by the COVID-19 shock, exerting profound impacts on global stock markets. In this article, we analyze the downside and upside contagion and the tail dependence risks of the US stock market index on China, Hong Kong, Japan, and South Korea. We establish our empirical findings through a robust modelization of a conditional VaR (CoVaR), CoVaR, and copula models. The empirical results reveal wide spillover effects from the US to East Asian stock markets. These spillover effects are aggravated in the COVID-19 period when compared to the full sample period. This impact deluges to the Chinese market only via Hong Kong. The findings show that indirect spillovers on the Chinese stock market are heavier than direct spillovers. The study highlights different features of the US and Chinese spillovers. These findings provide useful support for policymakers and risk managers involved in the East Asian stock markets.