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The Impact of Systemic Financial Risks on the Shanghai Composite Index: Evidence from ARIMA Model
- 1 Columbia Engineering, Columbia University, New York, 28051130, United States
* Author to whom correspondence should be addressed.
Abstract
Systemic financial risk has always been a topic of concern to financial regulators and investors, and it often has a profound impact on the securities market. In 2015, China’s stock market fluctuated dramatically from a bull market to a bear market. The sharp drop in June of that year was an important turning point, resulting in a huge systemic financial risk, which led to a subsequent bear market. This paper uses ARIMA model to study the expected trend of the Shanghai Composite Index after the occurrence of systemic risk. Daily, weekly, and monthly data are used to analyze separately, and compared with the actual trend in order to study the impact of systemic financial risk on the Shanghai Composite Index. The study finds that systemic financial risk has a significant negative effect on the Shanghai Composite Index. The research in this paper aims to provide investors with a cognition and explanation of systemic financial risk, and to propose policy recommendations.
Keywords
systemic financial risk, Shanghai Composite Index, ARIMA model, impact
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Cite this article
Li,Y. (2023). The Impact of Systemic Financial Risks on the Shanghai Composite Index: Evidence from ARIMA Model. Advances in Economics, Management and Political Sciences,56,56-63.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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Volume title: Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
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