If China's stock market falls sharply, there is a good chance that US stocks – and some big blue chip names like Goldman Sachs and Caterpillar – will suffer.
However, a CNBC study using Kensho's analysis tool found that US equities are often weaker when declines in Chinese equities are large. In the past ten years, when Shanghai stocks fell 10 percent or more in 30 days, the US stock market rose only about 30 percent, and US indices declined significantly on average.
The S & P 500 fell 4.8 percent on average when China dropped 10 percent or more, and the Nasdaq was even worse at 5.3 percent.
Source: Kensho  Goldman Sachs shares lost 10.6 percent of the 30-day average for individual stocks, up 18 percent of the time. Caterpillar sales are closely linked to China, up only 20 percent on an average of 7.9 percent during those periods. Dupont lost an average of 9.3 percent and was only 17 percent higher than before.
Caterpillar helped keep the Dow lower on Thursday, dropping more than 3 percent.
Among the sectors, stocks of companies producing commodities and materials were 84 percent of the time when Chinese stocks fell sharply. The SPDR Materials Select sector lost an average of 7.8 percent. The XLF, the Financial Select Sector SPDR Fund, lost an average of 6.4 percent and rose 31 percent. Energy stocks, represented by the Energy Select Sector SPDR Fund, lost an average of 7 percent and were 20 percent lower.
How Shanghai shares went By contrast, commodities such as copper fell 8.3 percent and oil fell 8.5 percent on average in the 30- day periods. Crude oil fell 70 percent of the time when Chinese stocks fell, and copper fell 78 percent of the time. Safe havens, however, average gains and gold rose 0.6 percent, while the dollar index rose 1.5 percent. Both were higher than half the time.