Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 3rd International Conference on Business and Policy Studies
Series Vol. 66 , 05 January 2024
Open
Access | Article
Empirical Analysis of the Impact of Chinese Commercial Banks on Financial Market Risk Based on the CoVaR Method
* Author to whom correspondence should be addressed.
Abstract
The paper conducts an empirical analysis using the CoVaR model and data sourced from weekly individual stock returns of listed Chinese commercial banks to examine the impact of individual commercial banks on the entire financial system. Overall, the stock price risk of Chinese commercial banks exhibits a negative spillover effect on the financial market. Based on dCoVaR values from 2006 to 2023 and in conjunction with financial events related to the market over the 17-year period, it is evident that significant events lead to notable negative spillover effects by commercial banks’ stock price risk on the entire financial system, highlighting their crucial influence on financial market risk.
Keywords
commercial banks, CoVaR, risk spillover
References
1. Liu, Y. (2022). Evolution and Development of Chinese State-owned Commercial Banks in the New Era.
2. Huang, Y., & Zhou, B. (2023). Analysis of the Causes of the Silicon Valley Bank Crisis and Its Implications for the Banking Industry in China.
3. Adrian, T., & Brunnermeier, M. K. (2010). CoVaR.
4. Zhang, S. L. (2009). Progress and Effects of the "Four Trillion Yuan" Investment.
5. Zhu, M. N., & Hou, Z. (2014). Research on the Mismatch of Funds in Chinese Commercial Banks: A Study Based on the Background of "Money Crunch".
Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License. Authors who publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See Open Access Instruction).
- Volume Title
- Proceedings of the 3rd International Conference on Business and Policy Studies
- ISBN (Print)
- 978-1-83558-263-3
- ISBN (Online)
- 978-1-83558-264-0
- Published Date
- 05 January 2024
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/66/20241209
- Copyright
- 05 January 2024
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited