Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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Along the "Belt and Road" based on Copula function Research on the Interdependence of Regional Financial Risks

Authors
Dongbao Liu1, *, Xiuli Li1, Leiguang1
1School of Economics and Management, Heilongjiang Bayi Agricultural University, China
*Corresponding author. Email: 1379103967@qq.com
Corresponding Author
Dongbao Liu
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_118How to use a DOI?
Keywords
" One Belt, One Road " initiative; GARCH-Copula-CoVaR model; stock market linkage; risk contagion
Abstract

Based on the GARCH-Copula-CoVaR model, this paper examines the stock market interdependence structure and risk spillover effects between China and the regions along the “Belt and Road”, and analyzes the characteristics and evolution of risk correlations in normal and extreme situations. The research shows that there is a certain positive correlation between the stock markets of China and the regions along the " Belt and Road ", and among them, West Asia and Central Asia have a high risk dependence on China. The new crown pneumonia epidemic has exacerbated the possibility of contagion of stock market risks in the regions along the “Belt and Road”, and the correlation of stock market returns has increased. From the perspective of risk spillover effects, the tail risk spillovers from the regions along the “Belt and Road” to the Chinese stock market have shown a slight upward trend of fluctuations. The conclusions of this paper provide a useful reference for preventing and resolving systemic financial risks along the "Belt and Road ".

Copyright
© 2023 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 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
978-94-6463-042-8
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_118How to use a DOI?
Copyright
© 2023 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  - Dongbao Liu
AU  - Xiuli Li
AU  - Leiguang
PY  - 2022
DA  - 2022/12/29
TI  - Along the "Belt and Road" based on Copula function Research on the Interdependence of Regional Financial Risks
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 828
EP  - 834
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_118
DO  - 10.2991/978-94-6463-042-8_118
ID  - Liu2022
ER  -