Research On The Relevance And Risk Spillover Effect Of China’s Listed Commercial Banks

With the acceleration of the pace of financial liberalization,China’s banking industry has continuously introduced cross-cutting businesses and products,and the links between institutions have become more closely than ever before.The network of relationships between banking institutions is becoming more and more complex.On one hand,it has accelerated the speed of financial financing and improved operational efficiency.On the other hand,it has also led to the rapid spread of financial risks among banking institutions,which may eventually cause the transformation of local risks of micro-individuals into large-scale systemic financial risks.Therefore,how to portray the inter-bank correlations in China and how to measure the inter-bank risk spillover effects brought about by such correlations is particularly important.This paper selects 14 listed commercial banks in China as samples to quantitatively study the relationship between joint-stock banks and city commercial banks and state-owned banks.Firstly,based on the peak-thickness phenomenon of stock daily return series,the appropriate GARCH(1,1)-t model is used to fit the edge distribution model.Secondly,combined with the characteristics of the sample data,choose the optimal Copula function.Finally,the tail correlation coefficient is calculated based on the unknown parameter values in the Copula function model,and the inter-bank correlation is studied in detail.According to the preliminary results of the empirical results,China Merchants Bank,China CITIC Bank,Bank of Beijing are highly correlated with state-owned banks.While promoting the rapid development of banks,it may lead to bank risk spillovers.Afterwards,based on the measurement of relevance,this paper introduces a new risk metric,CoVaR,and combines the GARCH(1,1)-t model with the microscopic “elasticity” concept to continue to study the risk spillover effects of China’s joint-stock banks and city commercial banks on state-owned banks.The research results show that CITIC Bank,China Merchants Bank and Bank of Beijing have contributed a lot to the risk spillover of China’s state-owned banking institutions,and may enter the ranks of systemically important banks in the future.This also shows that the strong correlation between banks does lead to high-risk spillovers,which may lead to systemic financial risks.At present,in strengthening financial supervision and preventing financial crises,regulators have realized that it is more important to incorporate inter-bank correlations and the risk spillover effects of such correlations into the research framework than the size of banks.The relevant conclusions of the empirical research in this paper not only establishes the theoretical basis for the investment subject to avoid financial risks,but also provides empirical support for the regulatory agencies to prevent and control bank risks.