Risk Analysis of World Major Stock Index Before and After the 2008 Financial Crisis – Based on GARCH-VaR Approach

Maoguo Wu, Yanyuan Wang


In 2008, the U.S. subprime mortgage crisis overwhelmed the global financial system, which sparked drastic fluctuation of world stock index. Subsequently, the risk of investment in global stock markets has augmented considerably. Applying the VaR approach based on GARCH model, this paper attempts to thoroughly investigate the volatility of S&P 500, NASDAQ, DJIA, GDAXI and CSI 300. For the purpose of comparison, data are divided into 2 parts: before the 2008 financial crisis and after the 2008 financial crisis. Thus, the paper elaborates impacts of the 2008 financial crisis on global stock index. In addition, this paper puts forward policy implications of risk control in Chinese financial market. According to empirical results, before the 2008 financial crisis, S&P 500, NASDAQ and DJIA were relatively stable; GDAXI was slightly fluctuant while CSI 300 fluctuated dramatically. When confronting with the 2008 financial crisis, the volatility of three American stock indexes surged at once, even exceeding that of CSI 300. GDAXI, however, experienced a time lag in the increase of volatility. So far, S&P 500, NASDAQ, DJIA and GDAXI have gradually recovered. On the contrary, CSI 300 still undulates frequently and erratically.

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DOI: https://doi.org/10.5430/ijfr.v9n2p39

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This work is licensed under a Creative Commons Attribution 4.0 International License.

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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