Modeling The Connectedness Of Chinese Listed Financial Institutions:Measurement And Influential Factor Analysis

With the deepening of economic globalization,the connectedness of global financial markets is increasing rapidly.The global financial crisis of 2008 showed that the loss of a financial institution could quickly spread to another institution,affecting the entire financial market and even the real economy.How to measure and analysis the connectedness of financial market reasonably and provide financial market regulators and investors with decision support has become an important research topic in the financial risk field.Past research constructs financial network model by constraining the return vector,ignoring the asymmetric characteristics of financial markets.This paper combines the asymmetric slope model and the single-index quantile regression to construct a financial network model to make up for the shortcomings.Firstly,the VaR of financial institutions is estimated based on the asymmetric slope model,where the asymmetry characteristic of financial market is described,improving the prediction accuracy of tail risk.Then,the single-index quantile regression is used to estimated generalized CoVaR so as to construct the tail risk financial network of Chinese financial market.Next,Chinese financial market is described in three levels:financial system,financial sector and micro-financial institution.Lastly,this paper empirically tests the risk contagion effect of investment activities at the level of micro-financial institutions for the first time.The empirical results show that the total connectedness and intra-sectoral connectedness of Chinese financial system rose significantly during the financial crisis and the stock market crash.The intra-sectoral connectedness of banks is comparable to the inter-sectoral connectedness,while the inter-departmental connectedness of insurance and security is much smaller than the intra-sectoral connectedness.The overall financial industry in China is still in a separate operation pattern,and the risk spillover effects across different departments are relatively weak.By analyzing the influential factors of the connectedness of financial institutions,it is found that investment activity is an important channel for financial institutions to form tail risk connectedness,where the contagion effect varies greatly in different financial sectors and different periods.