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The Risk Spillover Effects of Securities Companies in China’s Capital Market with the CoVaR Method

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  • Li Wang

Abstract

In China’s capital market, securities companies are not only converging but also intertwined in business. Once in crisis, their risks may not only infect one another but also impact the whole market. Based on the CoVaR method, from both static and dynamic dimensions, this paper uses the quantile regression and principal component analysis to quantify the risk spillover effects between securities firms and the contributions of individual securities firms to the systemic risk of capital market, and studies the factors influencing the contributions. The results show that when in crisis, CITIC Securities contributes the most to the systemic risk, followed by Haitong Securities and others. Characteristics of securities firms have great influence on their risk contributions as well, such as leverage ratio, maturity mismatch, market scale and price-to-book ratio. JEL Classification Numbers: G11, G24, G28Keywords: Risk Spillover Effect; Securities Companies; Capital Market; CoVaR

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  • Li Wang, 2019. "The Risk Spillover Effects of Securities Companies in China’s Capital Market with the CoVaR Method," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(3), pages 1-7.
    • Handle: RePEc:spt:apfiba:v:9:y:2019:i:3:f:9_3_7
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    1. Zhu, Bangzhu & Huang, Liqing & Yuan, Lili & Ye, Shunxin & Wang, Ping, 2020. "Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 163-175.

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    More about this item

    Keywords

    risk spillover effect; securities companies; capital market; covar;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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