Article contents
A Study on the Correlation of Systematic Risk of China's Listed Banks
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.
Article information
Journal
Journal of Economics, Finance and Accounting Studies
Volume (Issue)
4 (1)
Pages
547-558
Published
Copyright
Copyright (c) 2022 Journal of Economics, Finance and Accounting Studies
Open access
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.