Volatility spillover effect between internet finance and banks

Zhenlong Chen, Changmei Zheng and Xiaozhen Hao

Journal of Business Research, 2022, vol. 141, issue C, 512-519

Abstract: Cooperative relationships of internet finance and traditional banks opens up channels of volatility spillover between them. We study the direction of volatility spillover between internet finance and banks using Diebold-Yilmaz volatility spillover index model based on wavelet multi-resolution analysis and variable structure points, considering that volatility has different spillover characteristics on various time scales and time domains. The results show that on the whole, internet finance is the net exporter of volatility spillovers. In the early development stage of internet finance, the spillover direction of returns is from the bank to internet finance on the short and medium scales, and the volatility spillover direction is the opposite. In the period of stable development of internet finance, the spillover direction of returns in the long term is from internet finance to banks, and the volatility spillover is in the opposite direction.

Keywords: Internet finance; Wavelet multi-resolution analysis; Diebold-Yilmaz spillover index model; Variable structure points (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbrese:v:141:y:2022:i:c:p:512-519

DOI: 10.1016/j.jbusres.2021.11.049

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