Volatility in Chinese and European Stock Markets under the “Black swan” of the Russia-Ukraine War - An Empirical Test based on the GARCH Family Models and Investor Sentiment

Qingchuan Du
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Qingchuan Du: Taiyuan University of Technology, Mechanical and Transport Engineering

A chapter in Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), 2022, pp 1464-1470 from Springer

Abstract: Abstract The financial markets in Central Europe were shaken violently in February and March 2022 by the Russian war in Ukraine. In the background, the paper uses GARCH to model and research, figuring out how volatility characteristic shocks to financial markets from war. The paper specifically estimates the GARCH model parameters and validates the model with the stock market performance in February and March. Besides, the paper finds that the investor’s sentiment will create a positive feedback mechanism on the share price, increasing the volatility. The results indicate that the incident resulted in more dramatic fluctuations in the stock markets in China and European. According to the research, the paper presents some recommendations: improve the financial market information disclosure system, market supervision system and laws and regulations; strengthen capital supervision and cultivate a rational capital market.

Keywords: Black Swan Events; GARCH Model; Financial Fluctuations; Investor’s sentiment; Stock Market (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-036-7_217

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DOI: 10.2991/978-94-6463-036-7_217

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