Author Identifier

Tonmoy Choudhury

ORCID : 0000-0002-7745-0048

Simone Domenico Scagnelli

ORCID : 0000-0003-3578-2359

Jaime Yong

ORCID : 0000-0002-5784-7646

Zhaoyong Zhang

ORCID : 0000-0001-9596-2648

Document Type

Journal Article

Publication Title

Sustainability

Publisher

MDPI

School

School of Business and Law

RAS ID

36595

Funders

Edith Cowan University - Open Access Support Scheme 2021

Sumitomo Foundation

Comments

Choudhury, T., Scagnelli, S., Yong, J., & Zhang, Z. (2021). Non-traditional systemic risk contagion within the Chinese banking industry. Sustainability, 13(14), article 7954. https://doi.org/10.3390/su13147954

Abstract

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 defaults. Given that Chinese markets deliver weak signals of forthcoming stress in banking sectors, new policy intervention is crucial to resolve the hidden stress in the system. The results have important policy implications and will provide scholars and policymakers further insight into the risk contagion originating from interbank networks.

DOI

10.3390/su13147954

Creative Commons License

Creative Commons Attribution 4.0 License
This work is licensed under a Creative Commons Attribution 4.0 License.

Research Themes

Society and Culture

Priority Areas

Individual, economic, organisational, political and social transformation

Share

 
COinS