| 商业银行行业风险敞口与商业银行绩效 |
| |
| 引用本文： | 刘志洋,苏辛.商业银行行业风险敞口与商业银行绩效[J].财经理论与实践,2016(2):9-14. |
| |
| 作者姓名： | 刘志洋 苏辛 |
| |
| 作者单位： | 1. 东北师范大学 经济学院,吉林 长春,130117;2. 中国人民大学 国际学院,江苏 苏州,215000 |
| |
| 基金项目： | 国家社会科学基金青年项目(15CJY083)，中国博士后科学基金(2015M581379) |
| |
| 摘 要： | 商业银行的行业风险敞口与商业银行绩效密切相关。中国数据实证分析表明，银行财务报表中会计占比较大的行业并非是市场认为的银行风险敞口最大的行业；股份制商业银行对各行业风险敞口较高。整体上商业银行对各行业的风险敞口对商业银行股票波动率、收益率和市值与账面价值之比具有显著影响，但行业风险敞口对银行系统性风险贡献度的影响不显著。
|
| 关 键 词： | 风险敞口 银行绩效 CoVaR |
Industrial Risk Exposure and Performance of Commercial Banks |
| |
| LIU Zhiyang,SU Xin.Industrial Risk Exposure and Performance of Commercial Banks[J].The Theory and Practice of Finance and Economics,2016(2):9-14. |
| |
| Authors: | LIU Zhiyang SU Xin |
| |
| Institution: | (1.School of Economics, Northeast Normal University, Jilin, Changchun130117, China;2.School of International Education, Renmin University of China, Jiangsu, Suzhou215000, China) |
| |
| Abstract: | There are close relationships between the performance and industrial risk exposure of commercial banks.Our empirical study based on Chinese listed commercial banks shows that industries that have a great proportion in banks'financial report are not necessarily the industries to which the market thinks that bank have a great risk exposure,and joint-stock commercial banks have a higher exposure to industries.In all,industrial factors have a significant impact on stock return,stock volatility and the ratio between the market value and the book value of listed commercial banks,but do not have significant impact on banks'systemic risk contribution. |
| |
| Keywords: | risk exposure bank performance CoVaR |
| 本文献已被 万方数据 等数据库收录！ |
| 点击此处可从《财经理论与实践》浏览原始摘要信息 |
| 点击此处可从《财经理论与实践》下载免费的PDF全文 |
