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《Financial Economics Research》 2018-02
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The Impact of Internet Banking on the Systematic Risk of the Banking Industry in China:An Empirical Study Based on SCCA Model and Stepwise Regression Analysis

Zhu Chen;Hua Guihong;Business School,Nanjing Normal University;Business School,Jiangsu Normal University;  
Competition and cooperation between Internet banking and traditional banking has a strong impact on commercial banks and opens channels for financial disturbances. The superposition of shocks and disturbances tends to trigger systematic risk in the banking industry. Using data from the Chinese banking industry and capital markets,alongside macroeconomic data from January 1,2010 to September 30,2017,and applying the Systemic Contingent Claims Analysis(SCCA) model,this study intended to measure the systematic risk of the banking industry in China under the influence of Internet banking. Stepwise regression analysis was then applied to verify the uncovered triggering mechanisms and the risk level for a specific period was predicted. The results showed that Internet banking has aggravated systematic risk in the Chinese banking industry and the impact is long-term. The continued expansion of Internet banking is likely to further affect China's macroeconomy and increase the systematic risk of its banking industry.
【Fund】: 国家哲学社会科学基金重点项目(16AJY023);; 江苏省研究生培养创新工程(KYZZ16_0448)
【CateGory Index】: F724.6;F832
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