Dynamic Correlation Research On The Systematic Risk Of Chinese Listed Commercial Banks

With the strengthening of globalization of capital transaction,the relationship between financial markets have become increasingly closer,and the spread of financial risks has become more widespread and rapid.Because of its complex and special business operations,commercial banks have always been the focus of risk regulation by the monetary authorities of various countries.The subprime mortgage crisis in the United States in 2008 and a series of partial financial turmoil triggered by it have also confirmed the importance of systematic risk research for banks.In general,banks pay more attention to their own risk exposure,and they tend to overlook the close links with other financial institutions.This makes it possible for a bank to quickly spread to other financial institutions and entities as soon as a bank is in crisis.The economy,even when serious,broke out financial crisis.From this we can see that financial institutions not only need to strengthen their own risk control,but also need to pay attention to the risk correlation between financial institutions from a macro perspective.This has important theoretical and practical significance for how financial markets and social economy can develop steadily and healthily in the post-crisis era.Based on the DCC-GARCH model,this paper empirically examines the dynamic correlation between the systematic risks of 16 listed banks and finds that the phenomenon of volatility gathered is widespread in the stock market volatility.However,compared with joint-stock banks and regional banks,state-owned banks have weak performance in stock volatility.Secondly,the dynamic correlation coefficient of systemic risk among the four major state-owned banks is significantly positive,but there are differences in the coefficient size.Furthermore,as far as the three types of banks are concerned,there is a positive dynamic correlation between risks.Finally,it was found that the dynamic fluctuations in the bank's stock returns are mainly due to the influence of the previous period fluctuations and related market factors,and the strength of the fluctuations is negatively related to the market share and asset of the banks.Therefore,supervisory authorities should strengthen the risk monitoring of regional banks and joint-stock commercial banks,and both types of banks should enhance their ability to resist risks.Overall,the conclusions of this study indicate that the systematic risks of China's commercial banks are closely related.Therefore,in order to avoid the severe impact brought by the spread of risks,the regulatory authorities and the banking industry themselves should grasp the dynamic correlation of systemic risks from the macro level,and then achieve scientific monitoring and management.The innovation of this paper lies in the exploration of the dynamic transfer process of systemic risk in China's banking market from two parts.One is to explore how systemic risk is dynamically transferred between the four major state-owned banks,and the other is to explore the dynamic risk associations among the three types of banks as a whole.From the perspective of empirical test,compared with the static analysis of the inter-bank system risk correlation,this paper based on the application of DCCGARCH model analysis can more accurately grasp the dynamic characteristics of risk correlation between banks.In policy recommendations,combining the research findings of this article and the current unfavorable regulatory status of China's banking industry,it is proposed that a differentiated risk monitoring mechanism should be established based on the correlation coefficient between banks to better prevent and control risks and ensure a stable economy.The research conclusions of this paper help to enhance the risk aversion ability of the financial industry,especially banks,establish a comprehensive and scientific risk prevention mechanism,and maintain the steady and healthy development of the financial market,and then achieve the ultimate goal of sustained and healthy macroeconomic development.