中国上市金融机构关联性度量及影响因素分析

本文结合非对称斜率模型与单指标分位数回归，构建了中国上市金融机构的尾部风险网络，从而刻画中国金融市场尾部风险关联性的时变特征，并基于金融机构层面探讨尾部风险关联性的影响因素。研究表明，中国金融系统的总关联性与部门内关联性在金融危机与股灾期间显著上升，其中保险的部门内关联性为银行、保险、证券三部门中最高，而部门间关联性远小于部门内关联性，部门间的风险传染效应较为微弱。研究还发现投资活动是金融机构形成尾部风险关联的重要渠道，投资业务占比过高的机构应予以更多监管。

Measuring the Connectedness of Chinese Listed Financial Institutions and Analyzing the Influencing Factors

This paper combines the asymmetric slope model and the single-index quantile regression to construct the tail risk network of Chinese listed financial institutions and describe the time-varying tail risk connectedness of Chinese financial market. The determinants of the tail risk connectedness are discussed at firm level. This study shows that the total connectedness of Chinese financial system and the intra-sectoral connectedness increased significantly during financial crisis and stock market crash. The connectedness within the insurance sector is the highest among the three financial sectors of bank, insurance and security. The cross-sectoral connectedness is much smaller than the intra-sectoral connectedness, which implies the risk spillover effects across financial sectors are rather weak. This study also finds investment activity is an important channel for financial institutions to form tail risk connectedness, indicating strengthened supervision for institutions with high ratio of investment business.