证券业的系统性风险真的比银行业高吗?——来自中国上市公司股票收益率的证据  

Is the Systemic Risk of Securities Industry Really Higher than that of Banking?—— Evidence from the Rate of Return of Chinese Listed Company

作　　者：曹源芳[1] 蔡则祥[1] 

机构地区：[1]南京审计学院金融学院,江苏南京211815

出　　处：《经济问题》2015年第10期58-63,98,共7页On Economic Problems

基　　金：国家社会科学基金项目"影子银行业务的风险传染与审计治理机制研究"(15BGL045);江苏省高校哲学社会科学重点研究基地重大项目"区域金融稳定与金融风险管理研究"(2010JDXM021);江苏省高校哲学社会科学基金项目"文化产业大发展的金融支持机制与政策研究"(2013SJB790038)

摘　　要：以国内16家上市证券机构和16家上市商业银行为样本,通过构建函数,结合系统性风险检测方法,从宏观审慎的角度对证券机构与银行机构的系统性风险进行实证分析。研究结果表明各金融机构的系统性风险存在较大差异,但证券业与银行业的系统性风险均存在显著的收敛效应。从金融领域看,传统印象中"证券业系统性风险远比银行业大"的观点在中国市场上得不到验证,反而是以安全性作为首要原则的银行业系统性风险要大得多。这些研究结论不仅充分反映出中国金融市场发展的复杂性与特殊性,也给未来金融监管部门在保持金融业健康发展中加强宏观审慎监管和有效防范系统性风险提供一定的思路与帮助。Based on the data of sixteen listed securities companies and sixteen listed commercial banks,the paper studies their systemic risk by structuring the Copula function and using the Co VaR method. The empirical research shows systemic risk of different financial institutions is different,but systemic risk of securities industry and banking has the convergence trend. And the point of view that the systemic risk of securities industry is higher than that of banking is not true. On the contrary,the systemic risk of banking is much higher. The research conclusion not only shows the complexity and characteristics of Chinese financial market,but also provides thoughts and assistances for the government supervision to prevent the systemic risk.

关 键 词：证券业 银行业 系统性风险 检测法 

分 类 号：F830.9[经济管理—金融学]