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Measuring the risk of Chinese Fintech industry: evidence from the stock index

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  • Yao, Yinhong
  • Li, Jianping
  • Sun, Xiaolei

Abstract

This study measures the risk of the emerging Fintech industry in China and identifies its influencing risk factors by calculating the tail risk of Fintech stock index. The expectile regression model that includes the lagged returns and macroeconomic risk factors is used to calculate the Expectile Value-at-Risk (EVaR). Based on the 1230 daily returns of Fintech index ranges from July 2, 2014, to September 10, 2019, the empirical results indicate that the Fintech industry possesses a higher risk, and is affected by both the past development and internal macroeconomic condition.

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  • Yao, Yinhong & Li, Jianping & Sun, Xiaolei, 2021. "Measuring the risk of Chinese Fintech industry: evidence from the stock index," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311055
    DOI: 10.1016/j.frl.2020.101564
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    1. Yao, Yinhong & Li, Jingyu & Chen, Wei, 2024. "Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets: Comparing the impacts of three Stock Connect programs," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1217-1233.
    2. HOROBEȚ Alexandra & MNOHOGHITNEI Irina & BELAȘCU Lucian & CROITORU Ionuț Marius, 2023. "Esg Reporting And Capital Market Investors: Insights From The Global Technology And Fintech Industries," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(2), pages 178-195, August.
    3. Xin Li & Xiujuan Tian, 2022. "Research on SMEs’ Reputation Mechanism and Default Risk Based on Investors’ Financial Participation," Sustainability, MDPI, vol. 14(21), pages 1-17, November.
    4. Choudhary, Priya & Thenmozhi, M., 2024. "Fintech and financial sector: ADO analysis and future research agenda," International Review of Financial Analysis, Elsevier, vol. 93(C).
    5. Yinhong Yao & Jianping Li, 2022. "Operational risk assessment of third-party payment platforms: a case study of China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-20, December.
    6. Kou, Mingting & Yang, Yuanqi & Chen, Kaihua, 2024. "Financial technology research: Past and future trajectories," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 162-181.
    7. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.

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