On Spillover Effect of Systemic Risk of Listed Securities Companies in China Based on Extended CoVaR Model

• Main Authors: Ze-Jiong Zhou, Shao-Kang Zhang, Mei Zhang, Jia-Ming Zhu
• Format: Article
• Language: English
• Published: Hindawi-Wiley 2021-01-01
• Series: Complexity
• Online Access: http://dx.doi.org/10.1155/2021/5574305

Based on the daily data from January 2, 2019, to September 30, 2020, this paper uses the extended CoVaR model to measure the spillover effect of systemic risk among top 10 securities companies by market value in China, All Share Brokerage Index, All Share Financials Index, All Share Insurance Index, and CSI Banks Index. The conclusions are as follows: (1) there are risk spillover effects among 10 securities companies, which are asymmetric and bidirectional and highly volatile in a short period of time; (2) the spillover effect of systematic risk of securities companies is not necessarily related to the market value of securities companies but has a strong relationship with the stock market; (3) there are risk spillover effects between the sample securities companies and the four major indexes, but there are significant differences in the size of the spillover effects; (4) the securities industry has a great risk spillover effect on the financial industry, but the risk spillover effect of other financial sectors on the securities industry is very small. Finally, we put forward countermeasures and suggestions.