Ripple Through the Silk Road: Analysis of Liquidity Risk Spillover Effects in Stock Markets of Belt and Road Initiative Countries

Abstract

 As global economic policy uncertainty and geopolitical risks intensify, liquidity risk in national equity markets has risen further and shown strong interconnectedness. Based on measuring the liquidity risk of the countries along the Belt and Road, this paper applies the volatility spillover measure of Diebold and Yilmaz (2012) to analyze the spillover effects of liquidity risk in the stock markets of the countries along the Belt and Road, and puts forward some related policy recommendations.