Research On Systemic Risk Contagion Of Listed Real Estate Companies

In 2008,the outbreak of the subprime mortgage crisis triggered the financial crisis in the United States,which spread to the world and triggered a global financial tsunami.In2009,the European debt crisis also caused a serious impact on the global economy.Preventing and defusing systemic risks has attracted great attention from all over the world.It is very necessary to study the transmission path of systemic risks.Nowadays,China’s economic structure has undergone many changes,and China’s economy has entered the "new normal",with the economic growth rate showing a downward trend,while the economic transformation is also accompanied by increased risks.In 2015 and 2016,the phenomenon of "1,000 shares falling by the limit" appeared for many times.Now,defaults occur frequently in the bond market.From the first default of the bond market in 2012 to the end of2020,the number of defaulted bonds in the bond market is as high as 582,which has a serious impact on the stability of the Chinese economy.In the real estate industry,as a company with a large amount of capital,real estate companies deserve special attention.In2015,Chinese real estate companies defaulted on dollar bonds for the first time,and the scale of debt repayment in the real estate industry is increasing year by year,so the systemic risk of the real estate industry deserves great attention.Based on this background,this paper studies the systemic risk contagion of real estate industry and real estate companies.Firstly,this paper selects China’s industry index data from 2016 to 2022 for empirical analysis,uses Garch-partial t distribution to carry out marginal distribution fitting on the yield data,and then uses R-Vine-Copula model to study the contagion relationship of systemic risk in the real estate industry.Then through the C-Vine Copula-CoVaR model to study the real estate industry systemic risk to other industries specific contagion.The study found that the systemic risk of the real estate industry first spreads to the financial industry and then to the durable consumer industry,and then spreads to the industrial,regular consumption,health care industry,and then spreads to the industrial industry and then to the energy,materials,information technology,telecommunications services,public utilities and other industries.In the course of contagion the amount of systemic risk is not reduced in the course of contagion and sometimes increased.The amount of risk spillover to different sectors is similar.Secondly,this paper selected Blu-ray Development Co.,LTD.,an example of a real estate company,to study the contagion of its systemic risk.The whole time period(2018-2022)was divided into two stages before bond default(2018-2021--July 9)and after bond default(July 12,2021--2022)for comparative study.The research procedure is the same as the industry-wide procedure.It is found that the development of blue light is closely related to the financial industry.The transmission center of systemic risk in the first stage is the industry,and the transmission center of systemic risk in the second stage is the durable consumer industry.In the first stage,there was no significant difference in the amount of risk contagion.In the second stage,there was a relatively large fluctuation in the amount of risk contagion,and the risk spillovers of different industries were significantly different.This article for the real estate industry and real estate individual companies of the systemic risk of point combined study,for the prevention to dissolve systemic risk provides some data support also gives some suggestions,but there are still many shortcomings,hope that their research can for our prevention to dissolve systemic risk theory can contribute.