Volatility spillover effect between internet finance and banks

Chen, Zhenlong; Zheng, Changmei; Hao, Xiaozhen

doi:10.1016/j.jbusres.2021.11.049

Cited by 9 publications

(2 citation statements)

References 9 publications

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“…Papathanasiou et al [10] used a time-varying spillover approach to check the interactions between financial assets. Chen et al [11] explored the extreme risk spillover from oil and exchange rates to the Chinese stock market based on upside and downside conditional value at risk (CoVaR) values. Xu et al [12] estimated the risk spillover effect on the Chinese real estate sector based on a GARCH-time-varying-copula-CoVaR model.…”

Section: Brief Overview Of the Literaturementioning

confidence: 99%

A Study on Volatility Spillovers among International Stock Markets during the Russia‐Ukraine Conflict

Huang

et al. 2022

Discrete Dynamics in Nature and Society

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This paper analyzes the dynamic time-frequency volatility spillovers among the international stock markets during the Russian-Ukraine conflict. We use the VAR-based connectedness framework to calculate the volatility spillovers. Results show that (1) the trend of the total spillover is consistent with the time of the Russian-Ukraine conflict; (2) Russian stock market is the primary source and net exporter of risk; (3) the Russian government has effectively controlled the further spread of risk through policy adjustments; and (4) Russian stock market may generate long-run volatility spillovers among the international stock market. We add research related to the impact of the Russia-Ukraine conflict on international stock markets by analyzing the results of the volatility spillovers.

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Section: Brief Overview Of the Literaturementioning

confidence: 99%

A Study on Volatility Spillovers among International Stock Markets during the Russia‐Ukraine Conflict

Huang

et al. 2022

Discrete Dynamics in Nature and Society

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“…For instance, the micropayment market in China is dominated by several FinTech companies. The intermarket linkages between FinTech and the traditional financial industry (TFI) have also been investigated in several recent studies [16][17][18][19], which can be explained by the following reasons: (I) FinTech can compete with the TFI because they conduct similar business [20,21]. (II) An increasing number of traditional financial institutions employ FinTech innovations in the operational process [22,23].…”

Section: Introductionmentioning

confidence: 99%

Volatility Spillover Dynamics and Determinants between FinTech and Traditional Financial Industry: Evidence from China

Wang,

Xia,

et al. 2023

Mathematics

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We explore the dynamics and determinants of volatility spillover between financial technology (FinTech) and the traditional financial industry (TFI). The total, directional, and net spillover indices are measured, and we further decompose volatility spillovers in a time–frequency framework. Economic fundamentals, risk contagion, and market attention are examined as potential determinants of volatility spillovers. We reveal that the total spillover index is time-varying and exhibits an inverse U-shape between 2017 and 2021. FinTech is a net volatility receiver in most cases, and exported volatility to the TFI during the COVID-19 pandemic. The long-term components are the main driving force of volatility spillovers based on the frequency domain decomposition. Meanwhile, the economic fundamental determinants are the main contributing factors of volatility spillovers, explaining over 60% of total spillover between FinTech and the TFI. The findings remain robust under different settings of forecasting horizons, lag lengths, and proxy of the risk contagion determinant.

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Study on the influence of Internet finance on urban household savings rate: Evidence from China

Xin,

Zhang,

Liu

2024

International Review of Economics & Finance

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Volatility spillover effect between internet finance and banks

Cited by 9 publications

References 9 publications

A Study on Volatility Spillovers among International Stock Markets during the Russia‐Ukraine Conflict

A Study on Volatility Spillovers among International Stock Markets during the Russia‐Ukraine Conflict

Volatility Spillover Dynamics and Determinants between FinTech and Traditional Financial Industry: Evidence from China

Study on the influence of Internet finance on urban household savings rate: Evidence from China

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