Measurement and prediction of systemic risk in China’s banking industry

This research uses a hybrid systemic risk indicator (rSYR) to measure the systemic financial risk of China’s banking industry from 2009 to 2019 and combines rSYR with sSYR (new standardized rSYR) to more accurately determine systemic important banks. We also forecast systemic risk in the next period, finding that large-scale banks (such as ICBC, Bank of China, Agricultural Bank of China, and China Merchants Bank) have high systemic importance. After eliminating the impact of scale, we then pay attention to the possibility of systemic risk brought by some smaller banks (such as Huaxia Bank and Everbright Bank). Through the prediction of systemic risk in the next six months, we also find out that the possibility of systemic risk caused by possible capital shortage brought by Agricultural Bank of China, Ping An Bank, Bank of China and Everbright Bank is more obvious, which is worth paying greater attention.     

Capture the contagion network of bitcoin – Evidence from pre and mid COVID-19

COVID-19 is the first global scale crisis since the inception of Bitcoin. We compare the contagion phenomenon of Bitcoin and other financial markets or assets pre and during the COVID-19 shock in both contemporaneous and non-contemporaneous manner. This paper uses the directed acyclic graph (DAG), spillover index, and network topology to provide strong evidence on the directional contagion outcomes of Bitcoin and other assets. The empirical results show that the contagion effect between Bitcoin and developed markets is strengthened during the COVID-19 crisis. Particularly, European market has a dominant role. Excluding Bitcoin’s own shocks, United State and European markets are the main contagion sources to Bitcoin. European market also works as a intermediary to deliver infectious from United State and market fear. The findings show that gold always has contagion effect with Bitcoin, while gold, US dollar and bond market are the contagion receivers of Bitcoin under the shock of COVID-19. The empirical results further proved the safe haven, hedge and diversifier potential of Bitcoin in economic stable time, but also shows that the sustainability of these properties is undermined during the market turmoil.     

Big Data and changes in audit technology: contemplating a research agenda

This study explores the most recent episode in the evolution of audit technology, namely the incorporation of Big Data and Data Analytics (BDA) into audit firm approaches. Drawing on 22 interviews with individuals with significant experience in developing, implementing or assessing the impact of BDA in auditing, together with publicly available documents on BDA published within the audit field, the paper provides a holistic overview of BDA-related changes in audit practice. In particular, the paper focuses on three key aspects, namely the impact of BDA on the nature of the relationship between auditors and their clients; the consequences of the technology for the conduct of audit engagements and the common challenges associated with embedding BDA in the audit context. The study’s empirical findings are then used to establish an agenda of areas suitable for further research on the topic. The study is one of the first empirical accounts providing a perspective on the rise of BDA in auditing.     

大数据背景下金融隐私权的保护

大数据时代,金融隐私所包含的个人信息已经成为重要的资源和财富。在享受大数据、云计算带来便利的同时,我们也不得不面对其所带来的负面效应,包括但不限于信息被秘密收集、二次利用等新问题。目前,我国有关金融隐私权的保护尚未建立一个完整的法律体系。因此,为保护金融隐私权,需确立金融隐私权的基本概念,明确和强化金融机构隐私保护的义务和责任,完善金融隐私侵权的救济机制。同时,亦可考虑引入选退保护模式。     

New development: Leveraging ‘big data’ analytics in the public sector

This article examines the opportunities presented by effectively harnessing big data in the public sector context. The article is exploratory and reviews both academic- and practitioner–oriented literature related to big data developments. The findings suggest that big data will have an impact on the future role of public sector organizations in functional areas. However, the author also reveals that there are challenges to be addressed by governments in adopting big data applications. To realize the benefits of big data, policy-makers need to: invest in research; create incentives for private and public sector entities to share data; and set up programmes to develop appropriate skills.     

异质性、信息不对称与差异化监管效率

新冠肺炎疫情爆发以来,我国财政金融部门认真落实党中央、国务院决策部署,联合制定执行抗疫政策,助推复工复产、稳企业、保就业,取得积极成效。但调研发现,地方财政金融部门在推动相关政策落地时,因目标角度差异、组织传导不畅、政策协调不足等原因,导致政策整体效应弱化;在金融支持疫情应对过程中,地方财政金融部门还面临基层财力不足、地区间资源分配不均、资金使用碎片化、市场化融资成本走高、配套政策执行不到位、资金撬动效应弱等问题,对小微企业的支持力度有待提升。亟须针对性地解决政策协调配合中存在的问题,更好地支持后疫情时期的稳企业保就业。     

COVID-19 social distancing and the US service sector: What do we learn?

This study investigates the impact of COVID-19 social distancing on the US service sector. Results from four industry indexes (hotels, entertainment, restaurants and airlines) indicate that conditional correlations among index pairs exhibited substantial increases. Iterated Cumulative Sums of Squares (ICSS) tests in dynamic conditional correlations show that while the relationship between airlines and entertainment venues is unstable, restaurants and hotels demonstrate stable co-movement. Markov regime-switching regression analysis suggests the pandemic is affecting mainly the entertainment and airline industries, with gradual deterioration in the hotel industry, led by small-market-cap companies. However, we see no evidence of a negative impact on the restaurant industry from the pandemic in our analysis period. This may be related to Maslow's hierarchy of needs. Based on our results, we recommend employment of effective working capital and supply chain management methods in the service sector to streamline the operations of affected companies. In addition, all other sectors should utilize appropriate methods of risk measurement and should take 'Black Swans' into account to incorporate a more accurate probability of unexpected events.     

新冠疫情冲击、期限结构与民间借贷风险——基于温州的微观调查数据

民间金融风险影响了实体经济特别是民营经济的健康发展。本文基于新冠疫情这一外生事件,分析和检验新冠疫情冲击对民间金融风险的影响。研究发现,新冠疫情增加了民间金融体系的风险,通过绘制变量间的脉冲响应图发现,疫情冲击会使民间借贷风险在较长时间内呈上升趋势。进一步研究发现：第一,新冠疫情对民间金融市场的冲击,在不同期限的借贷利率上具有显著的异质性,对长期借贷市场风险影响更大。第二,分区间研究发现,短期借贷风险仅在疫情发生后较短的一段时间内受到影响,长期借贷风险受到冲击的持续时间较长。