Risk spillover effect between the stock markets of China and Europe
DOI:
https://doi.org/10.54097/hbem.v18i.12540Keywords:
risk spillover; VaR; CoVaR.Abstract
Global integration has had a significant impact on stock markets, promoting cross-border investment and capital flows, leading to closer connections between international stock markets. In this study, the SSEC index, SCI index, FTSE 100 index , DAX 30 index, and CAC 40 index were selected as research objects. Calculating the Value at Risk (VaR) of the stock market, and subsequently obtain indicators such as to measure the risk spillover effect of major European stock markets on the Chinese stock market.
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