Keywords
Belt and road
Stock market
Linkage
Risk
Submitted : 2025-12-10
Accepted : 2025-12-25
Published : 2026-01-09
Abstract
This study employs the “Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity Connectedness” model to analyze stock market interconnectedness among Belt and Road countries. Building on existing literature, it extends the conclusions of previous research. The findings reveal a strong and relatively stable correlation between the stock markets of the fifteen member countries of the Belt and Road Initiative. In particular, during public emergencies, these markets exhibit stronger volatility correlation and heightened risk linkage Nevertheless, the interconnectedness remains generally stable, with market spillovers recovering swiftly even in the face of unexpected events. As the world’s second largest economy, China plays a pivotal role in the Belt and Road Initiative, particularly in ensuring the stability of the region’s stock market.
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