Study Of The Volatility Spillover Effect Of Stock Markets Between China And Some Countries Along The Belt And Road

In September 2013,General Secretary Xi Jinping put forward the Belt and Road Initiative.Frequent trade and increasing investment have made the connection between financial markets of China and countries along the Belt and Road more closely.The economic openness and the Belt and Road initiative have provided impetus to the economic growth of countries along the route.At the same time,it also provides certain realistic conditions for the volatility spillover between stock markets of various countries.Therefore,the study of the volatility spillover effect of stock markets between China and countries along the Belt and Road will enrich relevant theoretical research,help maintain the stability of Chinese financial market,and further promote the Belt and Road Initiative.Based on the efficient market hypothesis,the theory of behavior finance and portfolio theory,this paper uses normative and empirical analysis to study the volatility spillover effect of stock markets between China and countries along the Belt and Road.Selecting China and 10 countries along the Belt and Road as the research object,using the daily data of the stock price index of various countries from September 2008 to December 2018,through the spillover index model,the volatility spillover effect of stock markets between China and some countries along the route is analyzed from both static and dynamic perspectives.The results show that the total volatility spillover effect of stock markets between China and countries along the Belt and Road is time-varying,and is affected by the global economic environment and major international events.The volatility spillover effect during the financial crisis is stronger.After the initiative was proposed,the volatility spillover effect of the Chinese stock market to the stock markets of countries along the Belt and Road has increased significantly,while the volatility spillover effect of the stock markets of countries along the Belt and Road to the Chinese stock market has slightly weakened,so the short-term effect of the policies is not obvious.Based on this,this paper proposes to strengthen financial risk prevention and provide a stable financial environment for the construction of the Belt and Road.