Abstract
In order to explore the connectedness of financial industries in the internet era, this research measures the spillover effects between internet financial industry and each traditional financial industry. The results show that the spillover effects between internet financial industry and each traditional financial industry have time-varying characteristics, and the return spillover effects mainly occur in the short term while the volatility spillover effects mainly occur in the long term. By further exploring the spillover direction, it demonstrates that the securities industry is a net spillover exporter in the financial system, while the internet financial industry is a net spillover receiver. Moreover, cross-quantilogram analysis shows that the directional predictabilities of both return and volatility are significant when one industry is in the worst 10% situation. It confirms that the inter-industry spillover effects increase as fundamental or market uncertainty rises.
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