Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
Series Vol. 56 , 01 December 2023
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Access | Article
The Impact of Systemic Financial Risks on the Shanghai Composite Index: Evidence from ARIMA Model
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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
References
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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
- ISBN (Print)
- 978-1-83558-159-9
- ISBN (Online)
- 978-1-83558-160-5
- Published Date
- 01 December 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/56/20231055
- Copyright
- 01 December 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited