互联网金融与传统金融业双向风险溢出效应研究

基于2013-2019年互联网金融指数和申万行业指数的日收盘价数据,采用GARCH族模型结合CoVaR方法,从定量计量和动态特征分析两方面入手,考察了互联网金融行业与传统金融业之间的双向风险溢出效应.结果表明,互联网金融与各传统金融业之间均存在双向不对称的正向风险溢出且传统金融业对互联网金融的风险溢出强度显著高于互联网金融对传统金融业的风险溢出强度;从整体来看,互联网金融与银行业之间双向风险溢出效应最强,但从局部分析,互联网金融可能会对证券业造成“激增式”风险溢出,不可掉以轻心;此外,互联网金融与各传统金融业之间的风险溢出还具有周期性特征.

Research on the Two-Way Risk Spillover Effect of Internet Finance and Traditional Financial Industry

Based on the daily closing price data of internet finance index and Shenvan industry index from 2013 to 2019, GARCH family model and CoVaR method are used to investigate the two-way risk spillover effect between internet financial industry and traditional financial industry from two aspects of quantitative measurement and dynamic feature analysis. The results show that there is a two-way asymmetric positive risk spillover between internet finance and traditional financial industry, and the risk spillover intensity of traditional financial industry to internet finance is significantly higher than that of internet finance to traditional financial industry;On the whole, the two-way risk spillover effect between internet finance and banking industry is the strongest; but from the partial analysis, internet finance may cause "surge type" risk spillover to the securities industry, which should not be taken lightly; In addition,the risk spillover between internet finance and traditional financial industry is also cyclical.