Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

<Previous Article In Volume
Next Article In Volume>

Research on the Correlation of China’s Financial Systemic Risk Based on Granger Causality Test

Authors
Shiru Lan1, Jin Li1, *, Yanxin Wang2, *, JiaoTian3
1Hunan Sany Polytechnic College, Langli Industrial Park, Changsha County, Changsha, 410129, Hunan, People’s Republic of China
2Chongqing University of Technology, Hongguang Road 69, Banan District, Chongqing, 400054, People’s Republic of China
3Southwest University of Political Science and Law, No. 301, Baosheng Avenue, Yubei District, Chongqing, 401120, People’s Republic of China
*Corresponding author. Email: goldliclass@163.com
*Corresponding author. Email: 412677263@qq.com
Corresponding Authors
Jin Li, Yanxin Wang
Available Online 10 August 2023.
DOI
10.2991/978-94-6463-198-2_70How to use a DOI?
Keywords
Systemic risk; Granger causality; ARMA-GARCH
Abstract

In this paper, the ARMA-GARCH model is constructed to estimate the heteroscedasticity, so as to eliminate the impact of non-systematic risk on the model. On this basis, the Granger causality test is carried out. Finally, this paper empirically studies the Granger causality correlation between 22 financial institutions in China. The results show that the correlation between Chinese financial institutions is gradually increasing; the Granger causality correlation within the bank is the largest, that is, the most prone to systemic risk contagion; the securities sector is the most infectious to the banking sector; the insurance sector is not only the industry that is least prone to internal risk contagion, but also the industry that is least likely to spread risk to other financial sectors.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

<Previous Article In Volume
Next Article In Volume>
Volume Title
Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
10 August 2023
ISBN
978-94-6463-198-2
ISSN
2589-4900
DOI
10.2991/978-94-6463-198-2_70How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Shiru Lan
AU  - Jin Li
AU  - Yanxin Wang
AU  - JiaoTian
PY  - 2023
DA  - 2023/08/10
TI  - Research on the Correlation of China’s Financial Systemic Risk Based on Granger Causality Test
BT  - Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
PB  - Atlantis Press
SP  - 677
EP  - 685
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-198-2_70
DO  - 10.2991/978-94-6463-198-2_70
ID  - Lan2023
ER  -