An Analysis of the Linkage of Stocks between China and Countries along the Belt and Road

DOI

10.2991/isbcd-18.2018.30How to use a DOI?

Keywords

linkage; Belt and Road; stock index; co-integration test; granger causality test

Abstract

This article has conducted an in-depth study on the linkage between China and the daily returns of the stock markets of 17 countries from Southeast Asia, South Asia, West Asia, North Africa, and Central and Eastern Europe. Based on the stock market indices of 18 countries including the Shanghai Composite Index, the Prague Composite Index, the Egyptian CMA Index, and the Budapest Stock Market Index, the article uses the natural logarithm to calculate the daily returns of the country's stock indexes. Through the statistical descriptive test and ADF test of the daily returns of stock indexes in 18 countries, the daily yield ratio of the Shanghai stock index is co-integrated with other countries, Granger causality test, and finally the prediction error variance decomposition is performed. The conclusion is: The Shanghai stock market's response rate to the Thai stock market's return has been at a relatively high level, followed by Egypt, Indonesia, Turkey and other countries, while Russia's impact on China's stock market has the smallest impact.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Wenbo Du
AU  - Yaxian Lu
AU  - Xiaojun Yao
PY  - 2018/10
DA  - 2018/10
TI  - An Analysis of the Linkage of Stocks between China and Countries along the Belt and Road
BT  - Proceedings of the 3rd International Symposium on Asian B&R Conference on International Business Cooperation (ISBCD 2018)
PB  - Atlantis Press
SP  - 149
EP  - 155
SN  - 2352-5428
UR  - https://doi.org/10.2991/isbcd-18.2018.30
DO  - 10.2991/isbcd-18.2018.30
ID  - Du2018/10
ER  -