A Study On The Dynamic Spillover Effects Of Stock Markets In Typical Countries Along The Belt And Road

The “Belt and Road” initiative was proposed by General Secretary Xi Jinping in2013,and comprehensive construction work started in 2015.Since the initiative was proposed,China's trade and investment exchanges with countries along the route have gradually deepened,and the amount of investment and financing between countries has gradually increased.In this context,as the initiative continues to advance and unfold,the links and influence between our country and the financial markets of the countries along the initiative are also increasing.Therefore,studying the dynamic spillover effects between the stock markets of China and the countries along the “Belt and Road” will help to enrich the relevant policy research of the “Belt and Road”initiative,and to correctly grasp the dynamic relationship between China and the capital markets of the countries along the Belt and Road,prevent and control It is of great significance to resolve the transfer of financial risks.Based on the macroeconomic fundamentals hypothesis as the theoretical basis,this paper conducts China's research on the spillover effects of stock markets in six typical countries along the “Belt and Road” initiative.The Chinese stock market has two stages before and after the start of the comprehensive construction of the “Belt and Road” initiative.The dynamic correlations between the stock markets of the six countries along the route are compared and analyzed,and the significance of the economics is analyzed from the overall and specific aspects in combination with related theories and suggestions are made.This article is mainly divided into 5 parts,of which Chapter 1 briefly introduces the research background,significance and main content of this article,and organizes and reviews the relevant literature from the perspective of research direction and research method.Chapter 2 expounds therelevant theories of spillover effects,including the macroeconomic fundamentals hypothesis and market contagion theory.Chapter 3 introduces the current status of the countries along the “Belt and Road” and the selection of typical countries,and puts forward theoretical assumptions based on the theoretical model.Chapter 4 introduces the selection and processing of data in China and typical countries.Based on the stationary test of the processed data,the ARCH effect test and the univariate GARCH(1,1)model parameter estimation have been performed.Compared with the parameter estimation based on the DCC-GARCH model,the results of the two phases are compared and analyzed after the dynamic correlation coefficient is obtained,and the results are analyzed from the perspective of basic macroeconomic factors.Chapter 5summarizes the full text conclusions based on the results of empirical analysis,and puts forward relevant policy recommendations and future prospects.Through analysis and research on sample data,the results show that: China's stock market has a dynamic correlation with the stock markets of typical countries along the “Belt and Road”,and there is a volatility spillover effect on the stock markets of typical countries along the line;in the “Belt and Road” After the full-scale construction of the initiative began,the Chinese stock market generally increased its volatility spillover effect on the stock markets of typical countries along the route,but different regions and countries showed different characteristics.Among them,after the initiative began,China's impact on Singapore and Thailand Regional countries' stock market volatility spillover effects are strong,and the dynamic correlation coefficient is rising.The changes in other countries are not significant.Changes in China's trade with typical countries along the route and direct investment have changed the stock market volatility spillover effects.A certain impact.