Research On Systemic Risk's Spillover Effects Of China's Financial Industries

Financial systemic risk research has always been the hot issue in the international theory circle and practical realm.Especially after the us subprime mortgage crisis and the European debt crisis outbroke,many scholars attempted to identify,measure and regulatory the systemic risk from different angle.However,most of the research mainly focused on the risk measure of single financial institutions, the research on risk conduction mechanism in the financial system are rarely involved.In addition, most of the research belongs to static study, dynamic study are also rare.So,the stock yield sequences of banking industry, securities industry, insurance industry,trust industry and financial system are built in this paper,then the spillover effects of systemic risk in the financial system from the perspective of empirical are analysed.Firstly,the stability,normality,nonlinear,long-term memory and the fractal characteristics of stock yield sequences are checked through ADF test, Q-Q figure test, BDS test, Jjung-Box test and the test of R/S fractal characteristics.Then,the CoVaR theory are used to research the spillover effects of systemic risk about the banking industry,the securities industry,the insurance industry and the trust industry. Finally, the spillover effects of systemic risk from one financial industry to the financial system and other financial industries are staticly and dynamically studied under different risk level. This study has certain theoretical and practical significance.Main conclusions:Firstly,the stock yield sequences of financial industries are smooth,non-normal,nonlinear. They have the feature of spike thick tail and long-term memory,and the characteristic of fractal is obvious. Secondly,the risk spillover effect from the financial industries to the financial system are different. Among them,the banking industry is the biggest,the insurance industry is the second,the securities industry is the third and the trust industry is the smallest.Thirdly,risk spillover effect exists between the financial industries and the degree of spillover effect between them are different.Financial industries connected to each other, forming a risk conduction system.The fourth,during the financial crisis,the spillover effect of our country's financial industries is larger than the normal.The fifth,regardless of the economic situation is good or bad,if a financial industry suffers extreme risk loss,it can give other financial industries even the whole financial system huge losses.