Finance and Financial Management Commons^™

Non-Traditional Systemic Risk Contagion Within The Chinese Banking Industry, Tonmoy Choudhury, Simone Scagnelli, Jaime L.P. Yong, Zhaoyong Zhang Prof

Research outputs 2014 to 2021

Systemic risk contagion is a key issue in the banking sector in maintaining financial system stability. This study is among the first few to use three different distance-to-risk measures to empirically assess the domestic interbank linkages and systemic contagion risk of the Chinese banking industry, by using bivariate dynamic conditional correlation GARCH model on data collected from eight prominent Chinese banks for the period 2006–2018. The results show a relatively high correlation among almost all the banks, suggesting an interconnectedness among the banks. We found evidence that the banking system is exposed to significant domestic contagion risks arising from systemic …