Risk Analysis of Stock Price Indexes of Belt and Road Countries—An Empirical Study Based on the GARCH-VaR Model

Yifan Chen and Zhenyu Wu

Chapter 23 in Internet Finance and Digital Economy:Advances in Digital Economy and Data Analysis Technology, 2023, pp 317-328 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The Belt and Road Initiative (B&R) aims to unite countries and regions along the route to form a community with shared destiny and to achieve mutual benefits. As a macroeconomic barometer, the stock market can reflect the fluctuations of the real economy and predict the macroeconomic development trend. To timely identify the opportunities and challenges brought by the B&R to the stock markets of the countries along the route, this paper utilizes a Python crawler to obtain stock price indexes of eight countries and analyzes the fluctuations of the indexes. This paper divides the data into two parts, namely before and after the countries joined the B&R initiative, and uses GARCH-VaR models to calculate the stock price index risk of each country using WinRATS. The empirical results show that the impact of the B&R on stock price index risk varies across the eight countries. In addition, the price volatility of CSI 300 after the countries participated in the B&R initiative is much lower than that before the participation, and the stock price index risk of some sample countries is also reduced. Finally, the paper makes some suggestions from the perspective of the government and foreign investors.

Keywords: Internet Economy; Online Finance; Financial Engineering; Big Data; Blockchain; Supply Chain; E-commerce (search for similar items in EconPapers)
JEL-codes: G2 O33 (search for similar items in EconPapers)
Date: 2023
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