Research on the Spillover Effects of Systemic Risk in China's Financial Market on The Securities Industry

Abstract

In recent years, with the increasing openness of China's financial market, continuous deepening of financial reforms, and growing financial innovation, the Chinese securities market has become increasingly complex, leading to a gradual increase in the probability of systemic risk. This study focuses on the daily closing prices of stocks from eight large-scale listed bond companies, including CITIC Securities and GF Securities, and incorporates the stock, currency, bond, foreign exchange, and real estate markets into the CoVaR model to analyze the spillover effects and transmission channels of these five markets on systemic risk in the securities industry. The empirical results indicate that the stock market, currency market, bond market, and foreign exchange market have significant negative spillover effects on systemic risk in the securities industry, while the real estate market has a positive spillover effect. The empirical results also suggest that among the transmission channels of spillover effects, the currency market exhibits the strongest risk volatility, individual securities companies have the highest sensitivity to changes in the stock market risk, and compared to the real estate market, the rich information content of the four financial sub-markets has a greater impact on the spillover effects of systemic risk in the securities industry.