Research On The Spillover Effect Between Internet Finance And Banks In China

In recent years,with the rapid development of China's Internet finance,it has become one of the focuses of social attention.As an era product of the combination of traditional financial industry and Internet technology,Internet finance has played a role in improving transaction efficiency,optimizing resource allocation,alleviating information asymmetry,and enriching investment and financing methods.The impact of the rise of Internet finance on the traditional banking industry has always been a matter of enthusiasm for discussion.The volatility spillover effect between the two markets has also attracted people's attention.Considering the fluctuations have different conduction forms on different time scales,we apply a wavelet-based method to analyze the volatility spillover effects between Internet finance and banks.Firstly,this paper constructs a variable structure Copula model based on wavelet multi-resolution method to study the strength of Internet finance and interbank volatility spillover effects.The traditional Copula can only examine the volatility spillover effect from a single time scale.Compared with the traditional Copula model,this model can not only describe the interdependence structure between Internet finance and banks from the perspective of time domain and frequency domain,but also explore the change of the intensity of volatility spillover effect on different scales according to the variable structure.The empirical results show that in the early stage of Internet development,there is a long-term volatility spillover effect between the two markets,and after the Internet finance enters a stable development stage,the volatility spillover is obvious in all time scale.Secondly,when studying the direction of volatility spillover effect between Internet finance and banks,this paper uses the Diebold-Yilmaz volatility spillover index model and combines with wavelet multi-resolution analysis to reveal the conduction process of volatility from two aspects of yield and volatility.It effectively overcomes the limitations of the original model that can only describe the direction of the volatility spillover effect on a single time scale,and examines the volatility spillover effect more comprehensively and meticulously.In addition,this paper establishes a phased Diebold-Yilmaz model based on the variable structure points,and further explores the variation of the fluctuation overflow direction in the time domain.The results show that,on the whole,Internet finance is the net exporter of volatility spillovers.In the early stage of Internet finance development,the rate of return is from bank to Internet finance on the short and middle scales,and the volatility spillover direction is just the opposite.In the period of stable development of Internet finance,the rate of return in the long-term is from Internet finance to banks,and the volatility spillover in the opposite direction.Finally,considering that the volatility impact of Internet finance on the banking market may lead to spillover effects in the banking market,this paper introduces the ST-VCopula model based on wavelet multi-resolution analysis,with Internet financial volatility as an exogenous variable.Exploring the volatility spillover effects of state-owned banks,joint-stock banks,and city banks in different frequency domains.The results show that under the influence of Internet finance,state-owned banks,joint-stock banks,and city banks have obvious volatility spillover effects in the long-term.This paper reveals the form of transmission of volatility by portraying the effects of Internet finance and interbank volatility spillovers.This has important guiding significance for the supervision and policy formulation of government departments and for the asset allocation of investors.