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Short-run and long-run volatility spillovers from China to countries of the Belt and Road Initiative

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  • Bazán-Palomino, Walter
  • Winkelried, Diego

Abstract

Since China launched the Belt and Road Initiative (BRI) in 2013, its financial and economic ties with participating emerging markets have deepened. We examine whether this integration has strengthened the channels through which news and volatility in the Chinese stock market affect BRI stock markets. To this end, we estimate several parsimonious yet dynamically rich regressions, controlling for the influence of the US stock market, and compute short-run and long-run multipliers. Notably, we find that countries closer to China – geographically, in trade, and financially – experience greater short-run volatility contagion. However, long-run volatility spillovers remain approximately constant across most regions. We discuss the implications of these findings for investors, portfolio managers, and policymakers.

Suggested Citation

  • Bazán-Palomino, Walter & Winkelried, Diego, 2025. "Short-run and long-run volatility spillovers from China to countries of the Belt and Road Initiative," Research in International Business and Finance, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003629
    DOI: 10.1016/j.ribaf.2025.103106
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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