基于股票交易数据的商业银行传染风险研究

Does the Contagion Risk of Chinese Listed Commercial Banks be Priced in the Stock Market

传染风险无疑是能够引发金融系统性风险的主要来源之一。以往对于传染风险的研究往往使用资产负债表数据,因此不可避免的面对数据不足的问题。本文的主要贡献在于,使用中国上市商业银行股票市场收益率数据,使用Kalman滤波方法,测度中国每家上市商业银行对不包含此商业银行的其他商业银行所组成的整体的传染风险。同时,本文将传染风险因子纳入Fama三因素模型进行实证分析,实证结果表明,整体上商业银行传染风险能够被我国股票市场显著的定价;国有大型商业银行和大型股份制商业银行的传染风险被股票市场显著定价;而大多数中小城市商业银行由于传染风险较低,股票市场没有对其进行定价。

Contagion risk is one of the main sources of systemic risk.Previous research always used balance sheet data to study this fi eld which may counter lack of data problems.The main contribution of this paper is:using Kalman fi lter based on commercial banks’stock trading data,this paper calculates the contagion risk indicator to the system which does not include this commercial bank.Meanwhile,this paper induces contagion risk factor into Fama-French three factor model,and empirical result shows that Chinese stock market prices this contagion risk.The higher contagion risk,the higher stock returns for large and joint stock listed commercial banks.As to most median and small city commercial banks,stock market does not price contagion risk due to low contagion risk.