互联网金融对我国证券业的风险传染机理与度量

On Mechanism and Measurement of Systemic Risk Spillover Effect of Internet Finance on China’s Securities Industry

在阐述互联网金融风险传染机理的基础上,通过构建GARCH-Copula-Co VaR模型,选取2012-2021年间互联网金融和证券业的行业指数为代表,测度了互联网金融对我国证券业的系统性风险溢出效应。结果表明:第一,在短期内,互联网金融相较于传统证券业对于短期信息的应变速度快,信息传递效率高,而且历史信息对互联网金融未来波动性影响持续时间较传统证券业短。第二,互联网金融对证券业的风险溢出效应值为60.12%,十分明显。第三,风险溢出效应值能够直观刻画互联网金融对证券业风险溢出效应的大小,对监管部门和相关企业作出有效战略部署,推动证券市场平稳持续健康发展具有重大意义。

Expounding the mechanism of the Internet finance risk contagion,this paper constructs the GARCH-Copula-Co VaR model with the samples of industry indexes of the Internet finance and securities during the period from 2012 to 2021 to measure the systemic risk spillover effects of the Internet finance on China ’s securities industry.According to the study results,the Internet finance has a faster response to short-term information,and higher efficiency of information transmission than the traditional securities industry.Moreover,the impact of historical information lasts shorter on the future volatility of Internet finance than on the traditional securities industry.Second,the risk spillover effect of Internet finance on the securities industry is 60.12%,very obvious.Third,the value of risk spillover can directly describe the size of the risk spillover effect of Internet finance on the securities industry,so it is of great significance for regulatory authorities and related companies to make effective strategic deployments in order to promote the stable,sustainable and healthy development of the securities market.