Investors have been jittery about North Korea since Tuesday when Trump said any threats from Pyongyang would be "met with fire and fury like the world has never seen".
The so-called fear gauge - the CBOE Volatility Index (VIX), the most widely followed barometer of expected U.S. stock market volatility, hit its highest since November 8, when Mr Trump was elected president.
The VIX rose further on Wednesday, rising as far as 12.11, its highest in nearly a month.
"The unpredictable nature of North Korea means it is hard to gauge exactly how likely an attack is, yet given the military power of both nations, there is no surprise we are seeing markets shift out of risk assets and into havens such as the yen and gold", said IG market analyst Joshua Mahony, in a note. Australia's S&P/ASX 200 dropped 1.2 percent. South Korea's Kospi lost 1.7 percent, while Hong Kong's Hang Seng slid 2 percent.
In Asia, several indexes closed lower overnight. The Russell 2000 index of smaller-company stocks picked up 1.69 points, or 0.1 percent, to 1,374.23.
Instead, investors turned to assets that tend to benefit in times of geopolitical and financial stress. The dollar notched a two-month trough on the safe-haven Japanese yen and was last down 0.3 percent at 109.99.
Seven of the 11 major S&P 500 sectors were higher, with the technology's 0.36 percent rise leading the advancers. The Swiss currency was also on track for its biggest daily gain against the euro since the Swiss National Bank removed its cap on the currency in January 2015. "But with the rhetoric having gone to a different level, the market just can't afford to take that risk", said BNY Mellon FX strategist Neil Mellor. USA -traded Nikkei futures fell 2 percent to their lowest since mid-May.In currencies, the yen rose 0.8 percent versus the greenback at 109.2 per dollar, the strongest level for the Japanese currency since mid June."The yen is the big story really". Prices earlier rose to $1,282.40 per ounce, the highest since June 14.
He continues: "There are few better illustrations as to why a long term investor, keen to maximise returns while keeping portfolio volatility low, should hold core government bonds in their portfolio as part of a balanced portfolio". Ten-year USA yields dropped 4.3 basis points to 2.24 percent and German equivalents fell 3 bps to 0.43 percent, a six-week low. This morning gold had reached $1,286.33 while gold for delivery in December rose 0.8% to $1,290.10.
"The market hates uncertainty and that's certainly what we have now", said Ole Hansen, head of commodity strategy at Saxo Bank. "Indeed, the biggest increases in the price of gold have occurred when the U.S. bombed Libya in 1986, in the wake of the Gulf War in 1990, and, more recently, when ISIS attacks put oil supplies in the Middle East at risk".
Technology companies led US stocks slightly higher in midday trading Friday, recouping some of the losses from the day before.