Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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Volatility in Chinese and European Stock Markets under the “Black swan” of the Russia-Ukraine War - An Empirical Test based on the GARCH Family Models and Investor Sentiment

Authors
Qingchuan Du1, *
1Mechanical and Transport Engineering, Taiyuan University of Technology, Taiyuan, China
*Corresponding author. Email: *duqingchuan3455@link.tyut.edu.cn
Corresponding Author
Qingchuan Du
Available Online 31 December 2022.
DOI
10.2991/978-94-6463-036-7_217How to use a DOI?
Keywords
Black Swan Events; GARCH Model; Financial Fluctuations; Investor’s sentiment; Stock Market
Abstract

The financial markets in Central Europe were shaken violently in February and March 2022 by the Russian war in Ukraine. In the background, the paper uses GARCH to model and research, figuring out how volatility characteristic shocks to financial markets from war. The paper specifically estimates the GARCH model parameters and validates the model with the stock market performance in February and March. Besides, the paper finds that the investor’s sentiment will create a positive feedback mechanism on the share price, increasing the volatility. The results indicate that the incident resulted in more dramatic fluctuations in the stock markets in China and European. According to the research, the paper presents some recommendations: improve the financial market information disclosure system, market supervision system and laws and regulations; strengthen capital supervision and cultivate a rational capital market.

Copyright
© 2022 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 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
31 December 2022
ISBN
10.2991/978-94-6463-036-7_217
ISSN
2352-5428
DOI
10.2991/978-94-6463-036-7_217How to use a DOI?
Copyright
© 2022 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  - Qingchuan Du
PY  - 2022
DA  - 2022/12/31
TI  - Volatility in Chinese and European Stock Markets under the “Black swan” of the Russia-Ukraine War - An Empirical Test based on the GARCH Family Models and Investor Sentiment
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 1464
EP  - 1470
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_217
DO  - 10.2991/978-94-6463-036-7_217
ID  - Du2022
ER  -