中国金融业系统性风险分析——基于金融业态关联性视角

Systemic Risk Analysis of Financial System in China——From the Perspective of Financial Form Correlation

本文从金融业各个类型业态的关联度视角出发,以中国上市金融机构为研究样本,使用股票交易数据,在剔除系统风险因子后,测度了银行业、证券业、保险业和其他类型上市金融机构之间的关联度。实证结论表明,证券公司之间的关联度风险显著高于商业银行、保险公司和其他类型的金融机构。商业银行与证券公司、保险公司和其他类型金融机构的组合会增加金融机构之间的关联度风险,而对于证券公司来讲,证券公司与商业银行、保险公司和其他类型金融机构的融合有助于降低金融机构的关联度风险。

From correlation of various type of financial form perspective,taking the listed financial institutions in China as the samples,this paper measures banking industry,securities business,insurance companies and other financial institutions'correlation by using stock trading data of listed financial institutions after removing systemic risk factors.Empirical evidence shows that the correlation among securities companies is significantly higher than commercial banks,insurance companies and other financial institutions.When commercial banks are combined with investment banks,insurance companies and other kinds of institutions,the correlation risk will increase.But with regard to the security companies,when they are combined with commercial banks,insurance companies and other kinds of institutions,the correlation risk will decrease.