金融科技发展的股票市场系统性风险研究  

A Study on the Systemic Risk of Stock Market in the Development of Financial Technology

作　　者：何剑 许芳 HE Jian;XU Fang(School of Finance,Xinjiang University of Finance and Economics,Urumqi 830012,China)

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830012

出　　处：《统计与信息论坛》2024年第3期40-52,共13页Journal of Statistics and Information

基　　金：国家自然科学基金一般项目“双支柱框架下稳定金融的政策协同效应研究”(7216030084);国家自然科学基金地区项目“高杠杆下的中国财政乘数和财政空间研究”(72063030);新疆财经大学校级一般项目“新疆金融资源空间配置效率研究”(2021XYB005);新疆财经大学高层次人才专项项目“丝绸之路经济带中国西北段金融资源空间配置效率及优化路径研究”(2022XGC021)。

摘　　要：防范化解股票市场系统性风险是维护中国金融市场稳定的重要内容。以2012-2021年125家涉及14个业务部门的金融科技上市公司作为研究样本,基于分位数回归的CoVaR模型测算股票市场金融科技板块系统性风险,利用网络爬虫技术(Python)通过百度高级搜索功能爬取金融科技相关词频,构造地级市层面金融科技发展水平指标,实证检验金融科技对其股票市场系统性风险的影响。研究发现,金融科技有效抑制其股票市场系统性风险,并通过提高市场交易信息透明度、提升企业风险承担两条路径,从而降低其股票市场系统性风险。进一步研究发现,不同时间段、市场态势、市场化程度下金融科技抑制其股票市场系统性风险的程度不同。金融科技抑制其股票市场系统性风险存在时间上的异质性,金融科技虽产生风险的累积作用,但存在阶段性特征,在样本期间随着时间的推移抑制作用由弱变强,大于累积作用进而呈现总体抑制,亦可见中国金融科技监管实行的有效性;金融科技对股票市场中市场化程度较高的企业风险抑制作用较强,并在“熊市”表现更为明显。研究结论对防范化解金融科技板块系统性风险、推进金融科技良性发展提供了有益启示。Preventing and resolving systemic risks in stock market is an important aspect of maintaining the stability of China's financial market.Taking 125 fintech listed companies involving 14 business departments from 2012 to 2021 as research samples,based on the CoVaR model of quantile regression,the systematic risk of the fintech sector in the stock market(hereinafter referred to as the"fintech sector")is calculated.Using web crawler technology(Python),the frequency of fintech related words is crawled through Baidu's advanced search function to construct a prefecture level indicator of fintech development level.Empirically test the impact of fintech on systemic risk in stock market.The research has found that financial technology effectively suppresses systemic risks in its stock market,and reduces systemic risks in its stock market through two paths:improving market trading information transparency and enhancing corporate risk-taking.Further research has found that the degree to which fintech suppresses systemic risks in the stock market varies across different time periods,market trends,and levels of marketization.There is temporal heterogeneity in the suppression of systemic risks in the stock market by financial technology.Although financial technology has a cumulative effect on risks,it has a phased characteristic.Over time,the inhibitory effect changes from weak to strong and becomes greater than the cumulative effect,resulting in overall inhibition,which also demonstrate the effectiveness of financial technology regulation in China.Fintech has a stronger risk suppression effect on companies with higher levels of marketization in the stock market,and its performance is more pronounced in bear markets.The research findings provide useful insights for preventing and resolving systemic risks in the fintech sector and promoting the healthy development of fintech.

关 键 词：金融科技 股票市场系统性风险 信息透明度 风险承担 分位数回归CoVaR法 

分 类 号：F830.9[经济管理—金融学]