我国上市商业银行风险传染研究——基于股价动态相关性  

The Financial Contagion of Listed Commercial Banks in China:Based on Dynamic Correlation of Stock Price

作　　者：李志楠[1] 邸瑶 沈沛龙[1] 

机构地区：[1]山西财经大学财政金融学院,山西太原030006

出　　处：《经济问题》2018年第1期43-48,77,共7页On Economic Problems

基　　金：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)

摘　　要：以2010年9月-2017年8月我国银行股日收盘数据为样本,将国有商业银行、股份制商业银行、城市商业银行三类银行市值指数化,并借助DCC-GARCH模型对三者市场收益相关性的时变波动特征进行分析,以此测度不同类型银行间风险传染特性。在此基础上,进一步考虑上证综指在马尔科夫机制转换模型中的表现,探讨不同市场状态下我国银行间风险传染的动态趋势。研究发现,我国三类银行股波动性明显,两两间市场收益的风险传染强度较高,且表现出了一定的差异性与同质性,与此同时,其风险传染强度与整个市场环境存在一定关联。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.

关 键 词：商业银行 股价相关性 风险传染 

分 类 号：F830.33[经济管理—金融学]