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代婉瑞,姚俭.互联网金融与中国商业银行之间的风险溢出效应研究[J].上海理工大学学报,2020,42(4):375-383.
互联网金融与中国商业银行之间的风险溢出效应研究
Risk spillover effect between internet finance and Chinese commercial banks
投稿时间:2019-09-10  
DOI:10.13255/j.cnki.jusst.20190910001
中文关键词:  互联网金融  商业银行  分位数回归  CoVaR模型  双向风险溢出效应
英文关键词:internet finance  commercial banks  quantile regression  CoVaR model  two-way risk spillover effect
基金项目:
作者单位E-mail
代婉瑞 上海理工大学 管理学院上海 200093  
姚俭 上海理工大学 管理学院上海 200093 yaojian@usst.edu.cn 
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中文摘要:
      基于2013—2019年国内14家商业银行和互联网金融指数的日股票收盘价数据,采用分位数回归的CoVaR模型,对互联网金融行业与国有银行、股份制银行和城市商业银行之间的双向风险溢出效应进行研究。结果表明:第一,城商行自身风险最大,且互联网金融风险与城商行差别不大,国有银行风险最小;第二,互联网金融与各类型商业银行之间均存在双向不对称的正向风险溢出,且各商业银行对互联网金融的风险溢出效应更强;第三,通过比较分析三类商业银行与互联网金融之间的风险溢出值发现,互联网金融与城商行之间的双向风险溢出效应最强;第四,银行规模大小不是决定风险溢出强度的主要标准,互联网金融与城商行之间的风险溢出效应存在被低估的可能。
英文摘要:
      Based on the daily stock closing price data of 14 domestic commercial banks and internet finance index from 2013 to 2019, the quantile regression CoVaR model was used to study the two-way risk spillover effect between internet finance industry and state-owned banks, joint-stock banks and city commercial banks. The results show that: first, city commercial banks have the highest risk, and the risk for internet finance does not differ from that for city commercial banks. State-owned banks have the lowest risk. Second, there is a two-way asymmetric positive spillover between Internet finance and various types of commercial banks, and each commercial bank has a stronger risk spillover effect on Internet finance. Third, by comparing and analyzing the risk spillover values between the three types of commercial banks and Internet finance, it is found that the two-way risk spillover effect between Internet finance and city commercial banks is the strongest. Fourth, the size of banks is not the main criterion to determine the risk spillover intensity. The risk spillover effect between Internet finance and city commercial banks may be underestimated.
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