The cross-sector risk contagion among Chinese financial institutions: Evidence from the extreme volatility spillover perspective

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-03-28 DOI:10.1016/j.frl.2024.105303

Rui Ke, Anni Shen, Man Yin, Changchun Tan

引用次数: 0

Abstract

This paper investigates the cross-sector risk contagion among Chinese financial institutions using the quantile connectedness approach, and analyzes the impact of macroeconomic factors on risk spillover effects at different quantiles. The empirical results show that the volatility spillovers in the tail quantiles are higher than those in the median quantile, suggesting that financial risk propagate more intensely during extreme events relative to normal conditions. Furthermore, we demonstrate that macroeconomic factors have a significant impact on volatility spillovers among financial institutions. Our findings provide valuable insights for regulators to effectively manage and mitigate the risk contagion within the Chinese financial system.

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中国金融机构的跨行业风险传染：极端波动溢出视角的证据

本文利用量级关联度方法研究了中国金融机构的跨行业风险传染，并分析了宏观经济因素对不同量级风险溢出效应的影响。实证结果表明，尾部量级的波动溢出效应高于中位量级的波动溢出效应，这表明相对于正常情况，极端事件发生时金融风险的传播更为剧烈。此外，我们还证明了宏观经济因素对金融机构间波动溢出效应的重大影响。我们的研究结果为监管机构有效管理和缓解中国金融体系内的风险传染提供了宝贵的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance