Proceedings of the 2024 International Conference on Applied Economics, Management Science and Social Development (AEMSS 2024)

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Stock Market Spillover of China under Belt and Road Initiative: Evidence from 68 Countries

Authors
Junbo Huang1, *
1Krieger School of Arts and Science, Johns Hopkins University, DC, Baltimore, USA
*Corresponding author. Email: jhuan181@jh.edu
Corresponding Author
Junbo Huang
Available Online 27 May 2024.
DOI
10.2991/978-2-38476-257-6_37How to use a DOI?
Keywords
Spillover effect; International Finance; Belt and Road Initiative; EGARCH-X
Abstract

This paper examines the spillover effects of China’s equity market in the context of the Belt and Road Initiative (BRI), utilizing 68 MSCI country indices and an E-GARCH-X model. The study specifically addresses non-synchronous trading times, an aspect often overlooked in current research. Contrary to findings in other recent literature, this study indicates that spillover effects in both return and volatility from and on China’s equity market have not significantly deviated from those observed in 2013, the year the BRI was initiated. This underscores the initiative’s focus on infrastructure rather than direct impacts on equity markets. The research highlights the importance of market development level over BRI participation in determining spillover effects, affirming the continued value of diversification in global portfolios.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2024 International Conference on Applied Economics, Management Science and Social Development (AEMSS 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
27 May 2024
ISBN
978-2-38476-257-6
ISSN
2352-5428
DOI
10.2991/978-2-38476-257-6_37How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Junbo Huang
PY  - 2024
DA  - 2024/05/27
TI  - Stock Market Spillover of China under Belt and Road Initiative: Evidence from 68 Countries
BT  - Proceedings of the 2024 International Conference on Applied Economics, Management Science and Social Development (AEMSS 2024)
PB  - Atlantis Press
SP  - 320
EP  - 332
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-2-38476-257-6_37
DO  - 10.2991/978-2-38476-257-6_37
ID  - Huang2024
ER  -