Research On Risk Spillovers Among Financial Sub-industries In China

Since the international financial crisis,the business and risk correlation among financial institutins in the financial system has been paid more and more attention by academic circles.With the rapid development of China's financial industry,the links between financial institutions are growing,and business exchanges among financial institutions are becoming increasingly complex.While promoting the healthy development of the financial system as a whole,it also increases the possibility of cross-industry,cross-market contagion and diffusion of financial risks.In recent years,risk agglomeration and risk contagion among financial sub-industries in China have brought great risks to financial system and real economy.With the increasing frequency of business cooperation among domestic financial sub-industries,the problem of risk correlation among financial sub-industries has become increasingly prominent.Therefore,it is necessary to study the trend of Risk Spillover among financial sub-industries and actively guard against systemic funds.Financing risk has theoretical practical and policy significance.This paper takes the three major weighted financial sub-industries of the domestic financial system:banking,securities and insurance as the research object.In order to comprehensively analyze the dynamic correlation of risks among financial sub-industries and the risk spillovers among financial sub-industries,the paper first makes a theoretical exposition of the formation of risks in the financial sector.In addition it focuses on the introduction of banking securities and insurance.The paper focuses on the mechanism of Risk Spillover among financial sub-industries from direct and indirect transmission channels.On the basis of qualitative analysis,this paper studies the stock price indices of banking,securities and insurance industries from January 18,2007 to June 22,2018 and January 18,2007 to March 31,2009 as full samples and samples during the financial crisis,using VAR-GARCH model and multivariate quantile regression technology based on two perspectives of overall risk(volatility)and tail risk,respectively.This paper makes an empirical analysis of risk spillovers among financial sub-industries in order to understand the risk correlation among financial sub-industries in China.From the perspective of Risk Spillover among financial sub-industries in China,this paper draws the following conclusions through empirical analysis:(1)From the perspective of volatility or tail risk,there are significant risk spillover effects among financial sub-industries in China;(2)During the whole sample period,the performance of volatility spillover and tail risk spillover is consistent among financial sub-industries;During the international financial crisis,volatility spillovers and tail risk spillovers between financial sub-industries are different and there are significant differences;(3)volatility spillovers and tail risk spillovers between financial sub-industries will change with the fluctuation of economic cycle.(4)To a certain extent,tail risks of various financial sub-industries show "group effect".