Dynamic Measurement of Risk Transmission Between Chinese and U.S. Stock Markets Under Uncertainty Theory: Based on URTI, URAI and GARCH Correction

DOI

10.2991/978-94-6239-777-4_64How to use a DOI?

Keywords

Uncertainty Theory; Uncertain Impulse Response Function; Risk Transmission Intensity; Risk Transmission Asymmetry; GARCH Decomposition

Abstract

Aiming at the core defects of traditional cross-border financial risk transmission indicators that rely on probability distribution assumptions, fails to characterize non-stochastic cognitive uncertainty and are difficult to capture time-varying volatility characteristics, this paper originally constructs the Uncertain Risk Transmission Intensity Index (URTI) and Uncertain Risk Asymmetry Index (URAI) based on the Uncertain Impulse Response Function (UIRF) under Liu Baoding’s axiomatic system of Uncertainty Theory, and realizes the time-varying correction of the indicators through GARCH decomposition, forming an implementable dynamic monitoring tool for cross-border financial risks. The empirical study based on the intraday and overnight return data of Chinese and U.S. stock markets from 2016 to 2024 shows that there is a significant asymmetric one-way risk transmission mechanism between Chinese and U.S. stock markets, and the risk output from the U.S. stock market to the A-share market has long been dominant; the risk transmission intensity after the COVID-19 pandemic (2020-2024) is significantly higher than that before the pandemic; the time-varying Uncertain Risk Transmission Intensity Index (TV-URTI) corrected by GARCH has stronger ability to capture extreme event shocks than the static index, and can accurately identify the activation time and duration of risk transmission.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Qingsong Shen
AU  - Peibiao Zhao
PY  - 2026
DA  - 2026/09/30
TI  - Dynamic Measurement of Risk Transmission Between Chinese and U.S. Stock Markets Under Uncertainty Theory: Based on URTI, URAI and GARCH Correction
BT  - Proceedings of the 2026 8th International Conference on Economic Management and Cultural Industry (ICEMCI 2026)
PB  - Atlantis Press
SP  - 616
EP  - 627
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-777-4_64
DO  - 10.2991/978-94-6239-777-4_64
ID  - Shen2026
ER  -