Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market

Yingfei Zheng, Anran Shen, Ruihai Li, Yuhong Yang, Shengjin Wang and Lee-Young Cheng

Pacific-Basin Finance Journal, 2023, vol. 79, issue C

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.

Keywords: Internet finance; Industry spillover effects; Time-frequency domain; Cross-quantilogram; Uncertainty shock (search for similar items in EconPapers)
JEL-codes: G20 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379

DOI: 10.1016/j.pacfin.2023.101971

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