市场风险相关性度量研究——以产业型金融控股集团与其金融子公司为例

Research on the Evaluation of Market Risk Correlation——Taking the Financial Holding Companies Dominated by Industry Capital and their Financial Subsidiaries as Example

混业经营趋势下,产业资本与金融资本的不断融合,不少产业资本主导的产业型金融控股集团开始出现。通过构建产业型金融控股集团与其子公司之间的市场风险相关性度量模型进行实证研究,结果表明控股集团内部存在风险传递效应,传递方向为金融子公司至控股集团,与此同时,市场风险相关程度会表现出时变特征,并且在金融市场的"平静期"和"危机期",这种时变特征尤为明显。

Under the trend of mixed operation,with the frequent merge of industrial capital and financial capital,quite a few financial holding companies dominated by industry capital have come into being.This paper takes the financial holding companies dominated by industry capital as the research object,and constructs a model to evaluate the market risk correlation between holding companies and their financial subsidiaries.The empirical study shows that the market risk contagion effect exists in a financial holding company,and the direction is from the subsidiary to the holding company.Meanwhile,the market risk correlation shows a time-varying feature,which is particularly prominent during the ＂calm period＂ and ＂crisis period＂ on the financial market.