IDEAS home Printed from https://ideas.repec.org/a/jfr/ijfr11/v10y2019i2p61-67.html
   My bibliography  Save this article

Risk Analysis of the Stock Price Index of Countries Participating in the ¡°Belt and Road¡± Initiative - Based on GARCH-VaR Model

Author

Listed:
  • Maoguo Wu
  • Daimin Lu

Abstract

The ¡°Belt and Road¡± Initiative has attracted worldwide attention since its initial stage. The initiative is to unite countries participating in the ¡°Belt and Road¡± Initiative (B&R countries), to build a community with a shared future for mankind, and to achieve mutual benefit and win-win. Since the implementation of the initiative, China¡¯s outward foreign direct investment (OFDI) has ushered in a new upsurge, and a large amount of money has been invested in B&R countries. However, China lacks experience in OFDI, as it has not been long since China engaged in OFDI. Besides, most of the B&R countries are developing countries with immature market. As the barometer of the macroeconomy, the stock market can reflect fluctuations of the real economy and forecast the development trend of the macroeconomy. To explore the opportunities and challenges brought by the ¡°Belt and Road¡± Initiative to the stock market of B&R countries, this study selects 8 countries with the most active stock market among B&R countries, and analyzes the impact of the ¡°Belt and Road¡± Initiative on the stock price index risk of the 8 countries. In this study, the data are divided into 2 groups, i.e., pre-initiative and post-initiative. The GARCH-VaR model is used to calculate the stock price index risk of each country. The empirical results show that the ¡°Belt and Road¡± Initiative has different effects on the stock price index risk of the 8 countries. After the ¡°Belt and Road¡± Initiative, the fluctuation of China Shanghai Shenzhen 300 Stock Index Futures is far lower than that before the implementation of the initiative, and the stock price index risk of some countries has also been reduced.

Suggested Citation

  • Maoguo Wu & Daimin Lu, 2019. "Risk Analysis of the Stock Price Index of Countries Participating in the ¡°Belt and Road¡± Initiative - Based on GARCH-VaR Model," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(2), pages 61-67, April.
    • Handle: RePEc:jfr:ijfr11:v:10:y:2019:i:2:p:61-67
    DOI: 10.5430/ijfr.v10n2p61
    as

    Download full text from publisher

    File URL: http://www.sciedu.ca/journal/index.php/ijfr/article/view/15201/9431
    Download Restriction: no
    File URL: http://www.sciedu.ca/journal/index.php/ijfr/article/view/15201
    Download Restriction: no
    File URL: https://libkey.io/10.5430/ijfr.v10n2p61?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. William J. Baumol, 1952. "The Transactions Demand for Cash: An Inventory Theoretic Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 66(4), pages 545-556.
    3. Consigli, Giorgio, 2002. "Tail estimation and mean-VaR portfolio selection in markets subject to financial instability," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1355-1382, July.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    2. Shi Bo & Minheng Xiao, 2022. "Data-Driven Risk Measurement by SV-GARCH-EVT Model," Papers 2201.09434, arXiv.org, revised Jul 2024.
    3. Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
    4. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    5. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
    6. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
    7. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
    8. Chang, Chia-Lin & Hsu, Hui-Kuang, 2013. "Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan," MPRA Paper 45691, University Library of Munich, Germany.
    9. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
    10. Giovanni Masala & Filippo Petroni, 2023. "Drawdown risk measures for asset portfolios with high frequency data," Annals of Finance, Springer, vol. 19(2), pages 265-289, June.
    11. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
    12. repec:wyi:journl:002087 is not listed on IDEAS
    13. Asai, Manabu & McAleer, Michael, 2015. "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
    14. Mai, Nhat Chi, 2022. "Tác động của lạm phát đến hoạt động của thị trường chứng khoán ở Việt Nam: Kiểm chứng bằng mô hình GARCH," OSF Preprints azcqd, Center for Open Science.
    15. Daniel L. Thornton, 2007. "The daily and policy-relevant liquidity effects," Working Papers 2007-001, Federal Reserve Bank of St. Louis.
    16. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study Analysis of Political Events, Disasters, and Accidents for Chinese Tourists to Taiwan," Sustainability, MDPI, vol. 10(11), pages 1-77, November.
    17. Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    18. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
    19. Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, vol. 11(6), pages 1-19, June.
    20. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
    21. Jun Lu & Shao Yi, 2022. "Reducing Overestimating and Underestimating Volatility via the Augmented Blending-ARCH Model," Applied Economics and Finance, Redfame publishing, vol. 9(2), pages 48-59, May.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jfr:ijfr11:v:10:y:2019:i:2:p:61-67. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gina Perry (email available below). General contact details of provider: http://ijfr.sciedupress.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.