Evaluation On The Economic Effects And Financial Markets Risks Of Industry-based Financial Holding Groups

Industry-based financial holding group is the inherent integration of the real industry and the financial industry, currently, the formation of them mainly through participating or controlling financial institutions equity by the entities in domestic. The specific means contain equity participation, ownership, holding means or the personnel participation. Industry-based financial holding group operation is a beautiful and dangerous model, while getting the access revenue, Industry-based financial holding group is also facing some financial market risk, particularly in the context of frequent burst of financial crisis. It should weigh the benefits and risks of Industry-based financial holding group. In this context, it has great significance for stable operation of financial markets and risk management of financial holding group to discuss operating effect and risk of the Holding Groups’, while it also has important value for the theory of economic finance and risk management. The dissertation is executed under the framework of the theoretical research, empirical research and countermeasures research, and the specific contents are as follows.Firstly, on the basis of the related literatures and theories, the unity analysis framework of operation effects and risks is described, and theoretical analysis of the performance and formation mechanism of the economic effect of scale, scope economic effect of internal capital markets effect are respectively analyzed. Meanwhile, the dissertation describes the Industry-based financial holding group’s financial market risk and risk transfer process and formation mechanism.Subsequently, the dissertation measures the operating effects of Industry-based financial holding group, respectively using translog cost function, and the generalized translog cost function and improved method of Maksimovic and Phillips. The results show that:in the sample period, the scale economic effect of the Industry-based financial holding group is significantly enhanced after holding the equity of the financial enterprises. The average coefficient of scope economies of Industry-based financial holding group is0.0106below zero, indicating that there is no actural integration between the financial industry and entities industry, on the other hand, the Industry-based financial holding groups which hold the equity of the comecial banks accquire the scope economies. Internal capital market efficiency coefficient shows that participating or holding a financial enterprise can strengthen the internal capital market effects of the Industry-based financial holding group.Then, the dissertation measures the financial markets risks of Industry-based financial holding groups using different risk measuring models. For the risks in the equity market, GARCH-VaR and the Copula models are used to measure the risk of Industry-based financial holding groups. The empirical results show that the most Industry based financial holding groups faces the equity markets risk, and when the volatility is higher, the equity market could be higer. For the interest rate market risk, Flannery partial adjustment models and the empirical results of the Granger causality test show that the risks of Industry-based financial holding group are more obvious when the interest rate and its volatility getting higher, and the Industry-based financial holding groups which hold the equity of the security companies face serious interest rate risk. For the foreign exchange market risk, the empirical results show that exchange rate changes and fluctuations has no significant impact on the business management of the Industry-based financial holding group. In the credit markets, Z value of most Industry-based financial holding group is less than l,and the value of the Industry-based financial holding Group’s market risk is influenced by its own lagged value as well as indicators of credit risk of the sharing financial companies, credit risk in financial markets may be transferred to the industrial company.Finally, based on the enhancing the economic effects and preventing the financial markets risk, the dissertation proposes some countermeasures and suggestions for the development of the Industry-based financial holding group.