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《On Economic Problems》 2018-01
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The Financial Contagion of Listed Commercial Banks in China:Based on Dynamic Correlation of Stock Price

LI Zhi-nan;DI Yao;SHEN Pei-long;School of Finance,Shanxi University of Finance & Economics;  
Using the daily data from Sep. 2010 to Agu. 2017,this paper analyzes the financial contagion based on dynamic correlation between the stock returns among state-owned commercial bank,joint-stock commercial bank and city commercial banks by empirical research of their time-varying volatility with DCC-GARCH model.Meanwhile,considering the result based on the Markov switching model,this paper also discuses the dynamic tendency of financial contagion in China in view of the performance of different market conditions. The result shows that the indexation market returns are highly fluctuated,and there is a high degree of financial contagion between different banks,with distinction and homogeneity in some extent. Also,the degree of financial contagion is related to market circumstance.
【Fund】: 国家自然科学基金项目“基于新监管标准的我国商业银行资本和流动性监管研究”(71173140);; 山西省重点学科建设专项项目“经济转型期金融产品创新及其风险控制研究”(晋教财[2013]289号);; 山西省研究生教育创新项目“供给侧改革背景下中国金融风险传染研究”(2017BY095)
【CateGory Index】: F832.33;F832.51
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