Research On Risk Correlation And Spillover Effect Between Internet Financial Market And Traditional Financial Market

With the development and growth of Internet finance,although the country has been actively controlling it,it still accumulates a large number of risks and is increasingly closely linked with the traditional financial market,which will have an impact on the stability of the entire financial market.Therefore,the research on the correlation and spillover effects between the Internet financial market and traditional financial market risks is of great significance.This article focuses on the correlation and spillover effects between Internet financial market risks and traditional financial market risks.First,through a review of relevant literature,this article sorts out the research ideas and methods of financial market risk correlation and spillover effects by domestic and foreign scholars;second,the relevant theories of financial risks and the risks faced by traditional financial markets and Internet financial markets Explained;thirdly,explained the related theories of risk correlation and spillover effects,and on this basis,discussed the mechanisms that lead to the correlation and spillover effects between the Internet financial market and traditional financial market risks;fourth,Use the measurement methods introduced in this article to conduct empirical analysis on the correlation and spillover effects between the risks of the Internet financial market and traditional financial markets(including stock markets,fund markets,bond markets and traditional financial markets as a whole),and obtain policies based on the empirical results Enlightenment.The empirical part is mainly divided into two parts.The first part is to measure the correlation between Internet financial market risk and traditional financial market risk.Different ARMA-GARCH models are selected to fit the marginal distribution characteristics of the market index return rate sequence.On this basis,an appropriate Copula function is selected to connect the Internet financial market index return rate sequence and the traditional financial market index return rate sequence,to measure the strength of the correlation between the market risks;the second part is the measurement of Internet financial market risk and traditional financial market risk volatility spillover.Using the ARMA-GARCH-Co Va R model,the static spillover value of the Internet financial market risk to the traditional financial sub-market risk is calculated,and then the volatility is further used The spillover index model explores the risk spillover of the Internet financial market risk to the traditional financial sub-markets from a dynamic perspective.The empirical research results show that,first,from the perspective of risk correlation,the risks between the Internet financial market and the stock market,the fund market,the bond market,and the traditional financial market as a whole show a symmetric tail correlation,which shows a stronger upper tail correlation with the inter-bank lending market risk.Second,from the perspective of the strength of the correlation,the stock market,fund market,and traditional financial market as a whole have a strong correlation with the Internet financial market risk,and the inter-bank lending market and the bond market have a weak correlation with the Internet financial market risk.Third,from the perspective of risk spillover effects,Internet financial market risk has the largest risk spillover effect on the fund market,followed by the traditional financial market as a whole,and then the stock market.The risk spillover effect on the inter-bank lending market and the bond market is relatively low.At the same time,there is an asymmetry between the risk of the Internet financial market and the risk of the traditional financial market.Throughout the research cycle of this article,the average level of the overall risk spillover effect of the financial market is 43.7%,and it has been fluctuating between 37% and 57%.Each financial market is greatly affected by its own lag effect,the most prominent being the inter-bank lending market and the bond market,both of which are affected by their own lag effect,reaching more than 90%.Based on the above results,the following three policy enlightenments are obtained:First,we need to focus on the risk spillovers between the Internet financial market and fund markets,stock markets,and traditional financial markets as a whole.At the same time,we should not relax our attention to markets with low risk levels.We need to establish a comprehensive risk early warning system.Second,it is necessary to improve the system and mechanism of risk management.While encouraging the development of enterprises,it is necessary to strengthen the level of risk management of itself and each other.Third,for participants in the financial market,we must actively guide financial investors to make rational investments,enhance their own investment knowledge,pay attention to the risk management of investment and financial management,avoid herd mentality,and allocate financial products with low risk linkage to reduce risks.