A Study on the Correlation of Systematic Risk of China's Listed Banks

Authors

  • Yue Yan Yue Yan (Yan, Y.), Faculty of Finance, City University of Macau, Macau, China
  • WenHan Zhu WenHAn Zhu (Zhu, W. H.), Faculty of Finance, City University of Macau, Macau, China

DOI:

https://doi.org/10.32996/jefas.2022.4.1.33

Keywords:

listed banks; risk dynamic correlation; dcc-garch model

Abstract

In this paper, the DCC-GARCH model is used to study the dynamic correlation of systemic risk of 13 listed state-owned and joint-stock banks in China. The results show that: (1) there is a positive risk dynamic correlation among the four major state-owned banks in China, and the risk dynamic correlation between industrial and Commercial Bank of China and China Construction Bank is the closest during the sample period, and they are roughly the same with the other banks, so it is necessary to strengthen risk prevention for these banks; (2) there is a positive dynamic correlation between the systematic risk between state-owned banks and joint-stock banks in China, And the dynamic correlation coefficient is affected by the previous information.

Author Biography

  • WenHan Zhu, WenHAn Zhu (Zhu, W. H.), Faculty of Finance, City University of Macau, Macau, China

    WenHAn Zhu (Zhu, W. H.), Faculty of Finance, City University of Macau, Macau, China

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Published

2022-03-05

Issue

Vol. 4 No. 1

Section

Research Article

License

Copyright (c) 2022 Journal of Economics, Finance and Accounting Studies

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

How to Cite

Yan, Y., & Zhu, W. (2022). A Study on the Correlation of Systematic Risk of China’s Listed Banks. Journal of Economics, Finance and Accounting Studies , 4(1), 547-558. https://doi.org/10.32996/jefas.2022.4.1.33