Research on financial risk spillover of the countries along the Belt and Road - Based on TENET method

With the continuous improvement of trade freedom and the cooperation level of financial institutions among the countries along the Belt and Road, the financial markets among these countries are also gradually integration. Research on identification, contagion and measurement of financial market risk among countries along the Belt and Road is of great practical significance to ensure the healthy development of regional finance. In this paper, the extreme risk spoillover network of stock markets along the Belt and Road is constructed by using TENET method, and the risk characteristics, risk sources, risk transmission paths and risk evolution laws of stock markets under extreme tail risk situation are explored. The research results show that the systemic risk index of the stock markets along the Belt and Road countries has time-varying characteristics, and presents an upward trend during periods of economic pressure. From a regional point of view, the European region was at high risk in 2008 due to the financial crisis, and the Asian region was at high risk during the 2020 COVID-19 pandemic. From the perspective of specific countries, Greece and Cyprus, which are more affected by the European debt crisis, are at higher risk. China mainly receives external financial risks in the Belt and Road financial risk network, which mainly come from Israel, Greece, Singapore and other countries. This research can provide theoretical guidance for macro policy makers and transnational financial investment institutions of countries along the Belt and Road to monitor financial risks and manage foreign imported risks.