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Volatility spillover effect between internet finance and banks

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  • Chen, Zhenlong
  • Zheng, Changmei
  • Hao, Xiaozhen

Abstract

Cooperative relationships of internet finance and traditional banks opens up channels of volatility spillover between them. We study the direction of volatility spillover between internet finance and banks using Diebold-Yilmaz volatility spillover index model based on wavelet multi-resolution analysis and variable structure points, considering that volatility has different spillover characteristics on various time scales and time domains. The results show that on the whole, internet finance is the net exporter of volatility spillovers. In the early development stage of internet finance, the spillover direction of returns is from the bank to internet finance on the short and medium scales, and the volatility spillover direction is the opposite. In the period of stable development of internet finance, the spillover direction of returns in the long term is from internet finance to banks, and the volatility spillover is in the opposite direction.

Suggested Citation

  • Chen, Zhenlong & Zheng, Changmei & Hao, Xiaozhen, 2022. "Volatility spillover effect between internet finance and banks," Journal of Business Research, Elsevier, vol. 141(C), pages 512-519.
    • Handle: RePEc:eee:jbrese:v:141:y:2022:i:c:p:512-519
    DOI: 10.1016/j.jbusres.2021.11.049
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    References listed on IDEAS

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    Cited by:

    1. Ziyao Wang & Yufei Xia & Yating Fu & Ying Liu, 2023. "Volatility Spillover Dynamics and Determinants between FinTech and Traditional Financial Industry: Evidence from China," Mathematics, MDPI, vol. 11(19), pages 1-23, September.
    2. Xin, Xinyi & Zhang, Anquan & Liu, Lu, 2024. "Study on the influence of Internet finance on urban household savings rate: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 45-61.
    3. Arı, Yakup, 2022. "USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 67, pages 5-26.
    4. Piñeiro-Chousa, Juan & Šević, Aleksandar & González-López, Isaac, 2023. "Impact of social metrics in decentralized finance," Journal of Business Research, Elsevier, vol. 158(C).
    5. Zheng, Yingfei & Shen, Anran & Li, Ruihai & Yang, Yuhong & Wang, Shengjin & Cheng, Lee-Young, 2023. "Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

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