互联网金融对资本市场风险跨期时变的溢出效应研究——以余额宝为例

A Study of the Spillover Effect on Intertemporal Time-varying of Capital Market's Risks from Internet Finance: Take Yu E Bao as an Example

在资本资产定价模型的基础上,通过建立Beta系数的单指数模型,考察了互联网金融对资本市场Beta系数的溢出效应,进一步检验了资本市场系统性风险的变化规律。实证检验结果表明,以余额宝为代表的互联网金融导致了资本市场系统性风险的改变,Beta系数具有明显的跨期时变特征,互联网金融对资本市场风险具有显著的溢出效应。同时,作为一种金融创新,互联网金融具有很强的获取客户和流量能力,客户黏性高,能够对传统银行资产和负债等业务构成较大冲击,但由于大银行比中小银行具有更高的风控能力和资产定价能力,因此大银行受到的冲击要明显小于中小银行,这为建立和完善我国金融安全防线及风险应急处置机制提供了重要参考。

Based on the Capital Assets Pricing Model（ CAPM）,the paper builds a single-index model of beta coefficient. Thus,it studies the influence on capital market＇s beta coefficient from the appearance of internet finance,and it also examines the change law of systemic risks in capital market. The results show that the appearance of internet finance such as Yu E Bao has changed the systemic risks in capital market and beta coefficient is intertemporal time-varying. Internet finance has a significant spillover effect on the risk of capital market. As a financial innovation,internet finance owes the ability of acquiring customers and flows,customer stickiness,and now it has impacted the payment,debt and assets of the traditional banks. But the impact to big banks are significantly smaller than that of small and medium banks because big banks have higher abilities of risk management and asset pricing tham that of small and medium banks. This provides an important reference for the establishment and improvement of China＇s financial security line and mechanism of risk response.