An empirical study of volatility spillover effects between China-India-Russia stock markets based on multivariate BEKK-GARCH model

Zhenyu Wu; Yifan Chen

doi:10.1117/12.2646363

23 August 2022 An empirical study of volatility spillover effects between China-India-Russia stock markets based on multivariate BEKK-GARCH model

Zhenyu Wu, Yifan Chen

Author Affiliations +

Proceedings Volume 12330, International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022); 123302A (2022) https://doi.org/10.1117/12.2646363
Event: International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022), 2022, Huzhou, China

Abstract

With the introduction of China's "One Belt, One Road" policy, the increasingly close economic interaction may enhance the linkage effect of the stock markets of the countries along the route. Exploring the interaction and transmission direction of stock market volatility in countries along the route can reflect the macroeconomic correlation of countries along the route and provide more effective suggestions for stock market development. This paper selects the CSI 500 Index, the Indian SENSEX Index and the Russian RTS Index, and mainly uses the BEKK-GARCH model and wavelet analysis to find that the changes in the Russian stock market are the Granger reasons for the changes in the Chinese and Russian stock markets. The wavelet spillover test shows that the Chinese, Indian and Russian stock markets all show volatility aggregation and persistent spillover effects. The two-way spillover effects between China-India stock market, China-Russia stock market, and India-Russia stock market are still significant on short-, medium- and long-term time scales.

Citation Download Citation

Zhenyu Wu and Yifan Chen "An empirical study of volatility spillover effects between China-India-Russia stock markets based on multivariate BEKK-GARCH model", Proc. SPIE 12330, International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022), 123302A (23 August 2022); https://doi.org/10.1117/12.2646363

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