Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model

This study employs a new GARCH copula quantile regression model to estimate the conditional value at risk for systemic risk spillover analysis. To be specific, thirteen copula quantile regression models are derived to capture the asymmetry and nonlinearity of the tail dependence between financial returns. Using Chinese stock market data over the period from January 2007 to October 2020, this paper investigates the risk spillovers from the banking, securities, and insurance sectors to the entire financial system. The empirical results indicate that (i) three financial sectors contribute significantly to the financial system, and the insurance sector displays the largest risk spillover effects on the financial system, followed by the banking sector and subsequently the securities sector; (ii) the time-varying risk spillovers are much larger during the global financial crisis than during the periods of the banking liquidity crisis, the stock market crash and the COVID-19 pandemic. Our results provide important implications for supervisory authorities and portfolio managers who want to maintain the stability of China’s financial system and optimize investment portfolios.     

Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization

In this paper, we investigate the asymmetric risk spillovers between Shanghai and Hong Kong stock markets under the backdrop of China’s capital account liberalization by measuring the Conditional Value-at-Risk (CoVaR) based on adjusted realized volatilities and variational mode decomposition based copula model. The empirical results show that, the asymmetric features of risk spillovers between the two markets are significant and manifest different states before and after the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect schemes. More specifically, first, the downside risk spillovers from Hong Kong to Shanghai are significantly larger than its upside risk spillovers, while the risk spillovers from Shanghai to Hong Kong is on the contrary. Second, the short-run risk spillovers are more drastic than the long-run risk spillovers, except the risk spillovers from Shanghai to Hong Kong after the Shenzhen-Hong Kong Stock Connect scheme. Finally, by comparing the risk spillovers from two directions, the importance of Shanghai stock market gradually rises up with the implementations of Stock Connect schemes.     

我国银行业系统性风险中的共同风险及溢出效应研究

本文首先分析了我国11家商业银行的收益率波动情况、相关系数和协方差矩阵,从实证的角度证明了我国银行业系统性风险共同因素的存在,得到了不同性质的商业银行之间收益率相关程度的异同。其次,通过计算各银行的CoVaR值,比较了三类银行对整体系统性风险贡献度的差别。最后,针对实证研究的情况,给出防范系统性风险发生的政策建议。     

Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach

In this study, we examine the connection between geopolitical risk (GPR) and stock market volatility in emerging economies. Our motivation for this study is premised on the need to assess both the predictability and the associated economic gains in relation to the subject in order to offer more useful insights to investors and practitioners. To the best of our knowledge, this is the first study that jointly considers these objectives. Consequently, we employ the GARCH-MIDAS framework which accommodates mixed data frequencies thereby circumventing information loss or any associated bias. We find that emerging stock market volatility responds more positively to geopolitical risks although the act-related GPR index offers better out-of-sample forecasts than the threat-related GPR. We also find that accounting for global economic factors in the predictability analysis is crucial for robust outcomes. Finally, we provide some utility gains of including GPR in the predictive model of stock market volatility while also highlighting some useful implications of our findings for investment and policy decisions.     

企业财务风险预警研究综述

本文在对国内外各种财务风险预警方法进行综述后,提出现有各种财务风险预警方法存在改造缺陷。为了克服改造缺陷,作者提出:在现有财务风险预警指标的基础上,改造制造企业的年度财务风险预警指标体系;建立一套企业内部管理者适用的财务风险预警子系统———资产风险预警系统。     

经济新常态下股市风险相关性测度

论文以连接函数作为工具,对经济新常态下股市风险相关性测度进行了探讨。利用2009—2014年的深证成份指数和香港恒生指数股票指数,对2008年金融危机后两市风险相关性测度进行了深入研究。研究结果表明,BB1 Copula拟合效果最好。深港两市的相关系数为0.325 3,在股市上涨时,上尾相关系数为0.279 4,在股市下跌时,下尾相关系数为0.184 1,两市的上涨联动协同效应要明显大于下跌时。此结论对研究股市的风险特征有一定的应用价值。     

企业财务危机内涵探究及相关概念辨析

财务危机的涵义探讨经历了半个多世纪,对其概念的研究也随着时代的发展不断延续和深入。本文追溯了财务危机概念的发展过程,对其发展进行了简要综述,剖析了财务危机概念的理论和实际涵义。对财务危机与财务风险、财务失败、企业失败等容易混淆的概念做了简要的辨析,以期对此研究提供参考。     

企业集团对外筹资风险评价体系探析

在社会主义市场经济条件下,企业集团面临着对外筹资风险。在企业集团风险管理中,构建一个科学、合理的筹资风险评价体系具有重要意义。本文提出构建一个以财务杠杆分析指标、偿债能力指标、盈利能力指标、资本成本指标等共同构成的筹资风险测评考核体系,以对企业集团对外筹资风险程度进行全面科学评估,为企业集团风险控制奠定坚实基础。     

金融企业财务诊断与保健研究

根据多数金融企业的亏损现状,本文采用拟人的手法,分析了金融企业的财务风险,介绍了掌握金融企业财务风险的应急诊断和病理分析技巧等财务保健方法,加强对有问题金融企业的处理措施,从而促进金融企业健康有序地发展。     

上市公司产品市场竞争与资本结构选择的实证分析

本文通过对2001￣2003年我国沪深两地上市公司的实证研究表明,产品市场竞争程度是资本结构决定的重要影响因素,产品市场竞争程度与资本结构的选择高度正相关,认为这种经营风险与财务风险不匹配现象与我国上市公司的股权融资效率低下和上市公司的竞争性战略选择有关。     

What determines the long-term correlation between oil prices and exchange rates?

In this study, we obtain the long-term correlation between oil prices and exchange rates by employing the dynamic conditional correlation-mixed data sampling (DCC-MIDAS) model. We then identify the factors that influence the long-term correlation using panel data analysis. We find that the long-run correlations between oil prices and exchange rates are negative for all oil-exchange rate markets except Japan. We also find that both inflation and term spread have negative effects, while the risk-free interest rate has a positive effect on the long-term correlation between oil prices and exchange rates. Importantly, the empirical results show that an increase in inflation will significantly damage the real value of the currency itself.     

企业财务预警模型评述及对策分析

本文认为,随着新经济环境的变化,现代企业所面临的风险向更广范围、更深层次的方向发展,企业财务安全和财务稳定已成为企业管理当局追求的重要目标。建立财务预警机制及防范系统对企业财务活动进行跟踪、监控,及早发现警情信号,有利于企业管理当局分析与监控企业财务危机。     

高校财务风险预警指标体系的构建研究

本文分析了高校财务风险形成的内在原因,探讨了高校财务风险预警指标建立的基础工作,并根据高校财务风险预警指标设计的原则,建立了高校财务风险预警指标体系。     

基于GONE理论的LK公司舞弊动因分析与审计风险防范

继浑水发布做空报告后,LK公司于2020年4月自曝2019年年度审计期间发现相关业务数据巨额造假,引起社会广泛关注.企业战略,尤其是商业模式,已经成为管理层产生财务报表层次重大错报风险的重要诱因.文章以GONE理论作为工具来识别和预判财务舞弊的倾向和风险,解释了企业管理层进行财务舞弊的动因.做空机构基于企业战略层面的潜...     

Economic policy uncertainty and industry risk on China’s stock market

We propose a dynamic mixture Copula with time-varying weight, which is endowed with generalized autoregressive score dynamics. Based on this model, we portray the lower-tail dependence between the return of WIND first-level industry and CSI-300 index as a proxy variable for the industry risk in China’s stock market, and use the VAR-GARCH-in-mean model based on BEKK-GARCH to deconstruct the different impact of the economic policy uncertainty (EPU) on industry risk of the first and second moments in terms of four policy categories, namely fiscal policy, monetary policy, trade policy, and foreign exchange rate and capital account policy. The results are followed. Firstly, the risk of Consumer Discretionary is averagely the highest, while the risk of Utilities remains the lowest. Secondly, category-specific EPU has no significant mean spillover to the risk of overall industries, while the variance spillover is significant for all the cases. Thirdly, except for Real Estate, the GARCH-in-mean effect is not significant of EPU on industry risks. Further more, all those three kinds of impact show industrial heterogeneities. To avoid systemic risks, we advise that the issue of economic policy should be forward-looking, consistent, and targeted, especially for sensitive industries.