Advances in Economics, Management and Political Sciences

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Proceedings of the 2nd International Conference on Financial Technology and Business Analysis

Series Vol. 56 , 01 December 2023


Open Access | Article

The Impact of Systemic Financial Risks on the Shanghai Composite Index: Evidence from ARIMA Model

Yuqi Li * 1
1 Columbia Engineering, Columbia University, New York, 28051130, United States

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 56, 56-63
Published 01 December 2023. © 01 December 2023 The Author(s). Published by EWA Publishing
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.
Citation Yuqi Li. The Impact of Systemic Financial Risks on the Shanghai Composite Index: Evidence from ARIMA Model. AEMPS (2023) Vol. 56: 56-63. DOI: 10.54254/2754-1169/56/20231055.

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

Copyright © 2023 EWA Publishing. Unless Otherwise Stated