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Quantile connectedn...
Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China
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- Chen, Yan (författare)
- Hunan Univ, Peoples R China; Hunan Prov Key Lab Philosophy & Social Sci Ind Dig, Peoples R China
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- Wang, Gang-Jin (författare)
- Hunan Univ, Peoples R China
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- Zhu, You (författare)
- Hunan Univ, Peoples R China; Hunan Prov Key Lab Philosophy & Social Sci Ind Dig, Peoples R China
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- Xie, Chi (författare)
- Hunan Univ, Peoples R China; Hunan Prov Key Lab Philosophy & Social Sci Ind Dig, Peoples R China
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- Uddin, Gazi Salah (författare)
- Linköpings universitet,Nationalekonomi,Filosofiska fakulteten,Univ Cambridge, England
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(creator_code:org_t)
- ELSEVIER, 2023
- 2023
- Engelska.
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Ingår i: Global Finance Journal. - : ELSEVIER. - 1044-0283 .- 1873-5665. ; 58
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This study examines the connectedness and risk spillovers between Chinese FinTech and traditional financial institutions by using quantile-based vector autoregression (QVAR) networks. Specifically, by using daily data from January 2014 to June 2022, we focus on system-, sector-, and institution-level quantile connectedness characteristics, with the following findings. At the system level, the QVAR networks linking FinTech and traditional financial institutions are more connected at the extreme quantiles than at the median quantile. At the sector level, banks, real estate firms, and FinTech sectors act as net risk receivers, whereas securities and insurers act as net risk emitters. At the institutional level, risk transmission and reception of institutions significantly increase when market conditions rapidly change. We also investigate the determinants of quantile connectedness by using an exponential random graph model and find that (i) across different quantiles, the book-to-market and return on equity of institutions have a positive impact on their risk spillovers; (ii) at the extreme quantiles, the book-to-market is more pronounced than the return on equity; and (iii) at the median quantile, banks and FinTech institutions are more connected than insurers, real estate firms, securities, and other financials.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- FinTech; Financial institutions; Quantile connectedness; Determinants; Risk spillovers; Exponential random graph model
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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