Research On Financial Institutions Systemic Risk Spillover Effect And Its Dependence Network In China

Taking the domestic financial industry,its five financial sub-industries(insurance industry,banking industry,trust industry,securities industry and other non-banking financial industries)and listed financial institutions as research objects and the closing prices from December 2011 to November 2017 as research data,using the R-Vine Copula model and the dynamic conditions based on DCC-GARCH with the conditional value-at-risk(Co Va R)method,it obtained the time-varying linkage of China's listed financial institutions.On this basis,it characterized the structural characteristics and associated networks of domestic financial industry and institutions,analyzed the systemic nature of financial markets and risk spillovers,as well as discussing and identified of China's systemically important financial institutions.The study concluded that before 2017,the correlation between the financial industry and the insurance industry,the banking industry and the securities industry remained at the level of 0.6 to 0.9,and the correlation with the trust industry and other non-banking financial industries remained at the level of about 0.5.The linkage between China's financial industry and its subindustries has declined significantly since the beginning of 2017,and the correlation between the financial industry and the trust industry and other non-banking industries has even shown a negative level.The banking industry is most closely related to the financial industry,while the trust industry and the insurance industry are less closely related to the financial industry.On the aspect of financial institutions depending on the structural characteristics,there is a clear agglomeration effect in the same industry's financial institutions.The banking industry with Industrial Bank and Hua Xia Bank as the center.The securities industry centers on Northeast Securities,Changjiang Securities,and GF Securities.In the aspect of dependency structural characteristics,it is found that the largest number of financial institutions linking other financial institutions is Industrial Bank and Huaxin Shares.In the aspect of financial systemic risk spillover,the financial sub-industry with the greatest risk spillover effect is the banking industry,while the smallest is other non-banking industry.The financial sub-industry which accumulates the most financial systemic risk is the securities industry.Combining financial institutions associated networks and their systematic risk measurement results,the four most influential financial institutions which are greatly influenced by financial systemic risk-Bank of China,China Life Insurance,Shan Guotou A and GF Securities,were in the market value of large-scale industry leader.In terms of policy recommendations,first of all,the banking industry will remain the focus of future financial systemic risk supervision.Secondly,companies that link to a large number of other financial institutions in associated network should be closely followed by financial institutions.Finally,for financial institutions with large market capitalization in the financial industry,they may have a relatively large financial systemic risk impact on the financial market and need to attract regulatory attention.