Measuring the risk of Chinese Fintech industry: evidence from the stock index

Yinhong Yao, Jianping Li and Xiaolei Sun

Finance Research Letters, 2021, vol. 39, issue C

Abstract: This study measures the risk of the emerging Fintech industry in China and identifies its influencing risk factors by calculating the tail risk of Fintech stock index. The expectile regression model that includes the lagged returns and macroeconomic risk factors is used to calculate the Expectile Value-at-Risk (EVaR). Based on the 1230 daily returns of Fintech index ranges from July 2, 2014, to September 10, 2019, the empirical results indicate that the Fintech industry possesses a higher risk, and is affected by both the past development and internal macroeconomic condition.

Keywords: Financial Technology (Fintech); Tail risk; Expectile regression model; Expectile Value at Risk (EVaR); Expected shortfall (ES) (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311055

DOI: 10.1016/j.frl.2020.101564

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