Research On The Measurement And Dynamic Correlation Of Risk Spillover Effect In My Country's Financial Industr

The increasingly close financial correlation network increases the possibility of cross-market and cross-institutional risk transmission and diffusion within the financial industry,and the risks arising from a financial institution or financial industry may spread to related financial institutions or financial industries,leading to risk spillover,which may easily induce systemic financial risks and affect the stability of the entire financial system,and even further cause huge losses to the real economy.Therefore,it is of theoretical value and practical significance to study the risk association and the measurement of risk spillover effect between financial sub-sectors and financial institutions in financial risk regulation and systemic risk prevention.In this paper,we analyze the financial stock information data to study the dynamic correlation and risk spillover effects of domestic financial sub-sectors and financial institutions,and take the three major financial sub-sectors of China’s banking,securities and insurance industries and 25 listed financial institutions as the research objects,select the stock return data from January 2012 to September 2022,establish the dynamic conditional correlation coefficient(DCC-GARCH)model and conditional value-atrisk(CoVaR)model based on quantile regression for empirical analysis.First,to provide theoretical support for the empirical analysis of this paper,the theory of characteristics,causes and risk spillover mechanism of systemic financial risk is summarized,and the risk spillover between different financial sectors is analyzed,and the relevant theories of the CoVaR model based on quantile regression and the DCC-GARCH model are briefly introduced.After data processing and data testing on28 sets of sample data,the DCC-GARCH model is first used to empirically analyze the risk dynamic correlation between the returns of the three major financial industries in China and the comprehensive returns of three types of financial institutions,including banking institutions,securities institutions and insurance institutions.The research results show that there is a strong correlation between each financial sub-sector and financial institutions with a very high risk correlation,and the dynamic correlation coefficients between the three major financial sub-sectors and financial institutions are all positive,and their risks are synchronized.Then,after the correlation data test and dynamic correlation analysis of the sample data,the CoVaR model based on quantile regression is used to first calculate the conditional value at risk,risk spillover effect and risk spillover ratio between the banking industry and banking institutions;the securities industry and securities institutions;and the insurance industry and insurance institutions,respectively,after which the quantile regression of the three financial industries of banking,securities and insurance is used to CoVaR method to measure and analyze the risk spillover effects between them.Based on the empirical analysis,the following conclusions are drawn:there is a significant risk spillover effect within the financial market,and there are twoway and asymmetric risk spillover effects between banking institutions,securities institutions and insurance institutions and their industries;there are two-way and asymmetric risk spillover effects among the three major financial sub-sectors,and the volatility spillover persistence between the securities industry and the other two industries is higher,while the risk spillover effect between the securities industry and the other two industries is The volatility spillover between the securities industry and the other two industries is more persistent,while the risk spillover effect between the securities industry and the other two industries is higher.Finally,based on the results of the empirical research in this paper,the policy recommendations for the financial supervision and risk prevention of China’s financial sub-sectors and financial institutions are proposed to increase the collaboration mechanism of cross business supervision of banking,securities and insurance.