The Research On Stock Price Volatility And Risk Spillover Of China’s Securities Industry Based On DCC-GARCH-CoVaR Model

The financial crisis originated in the United States in 2008 caused a huge blow to the economies of all countries in the world,revealing the lack of supervision on the spillover of systemic financial risks in all countries,and also making the spillover of stock market risks the focus of people’s concern and discussion.In recent years,the Chinese government has always taken effectively preventing systemic financial risks and maintaining the steady development of the economic and financial situation as an important political task in the government’s work,and China’s economy and financial situation has been developing steadily and rapidly in recent years.However,with the increasingly complex and severe economic situation abroad,as well as the negative externalities,concealment and easy infectivity of financial risks,there are still many financial risk events in China under the comprehensive and effective supervision.Most scholars at home and abroad believe that the banking industry is the key regulatory object of financial risks,because the banking industry is large in scale,has a long history of development and is closely related to the financial industry,so its risks are highly contagious and harmful.But should also see,the securities industry in our country has experienced many times over the years reform and development,the internationalization trend is more obvious,its business scope of business is showing a growing trend,and derive more and more,a variety of financial products,contact the whole financial market more closely,so the risk of the securities industry spillover effect also nots allow to ignore.Based on relevant theories such as Va R and generalized autoregressive conditional volatility,this paper uses DCC-GARCH-Co Va R risk spillover model and combines relevant data of China’s financial market,sector and company to conduct empirical research on financial risk spillover of securities industry and securities companies.The empirical results show that DCC-GARCH-Co Va R model can well fit the stock price volatility,dynamic correlation and dynamic risk spillover of each sector and institution in China’s financial market.From the perspective of financial market,the stock price volatility and dynamic risk spillover level of China’s securities industry are larger than that of the banking and insurance industry,and will show dynamic changes with the change of external market environment and different stages of its own industry development.The dynamic correlation between banking industry and financial market is high,while the risk spillover level is relatively low.The impact of external factors on the market increases the risk spillover level of various financial sectors,especially the risk spillover level of the securities industry.From the internal perspective of the securities industry,the risk spillover level of each securities company to the industry will also show dynamic changes with the development of its own business and the constant change of the external market environment;The risk spillover level among securities companies is characterized by "steep increase and slow decline".The risks of securities companies are constantly transmitted to each other when risks are concentrated,and they show certain independence in the stage of risk release and mitigation.The increase of macro market volatility will promote the risk spillover of securities companies to the industry.The leverage ratio and priceearnings ratio of securities companies have a significant impact on the risk spillover,while the industry size and revenue capacity of securities companies have little impact on the risk spillover.Finally,based on the results of theoretical research and empirical analysis,combined with the current development situation of China’s financial industry and securities industry,this paper discusses how to correctly understand and standardize the key industries and institutions of financial risk spillover,especially the securities industry and securities companies with high risk spillover contribution and weak ability to resist external risks.Puts forward reference to the banking sector to set up the perfect financial risk supervision system,the major financial risk early warning and risk in weakening and ease financial risks during the outbreak of spillover effect,leverage and p/e ratio of the securities company reasonable allocate,establishing the macro and micro prudential regulation methods of policy recommendations.