International Journal of Business and Social Science

ISSN 2219-1933 (Print), 2219-6021 (Online) DOI: 10.30845/ijbss

Research on Contagion Effects of Chinese Bonds
Liu Jiansheng

In recent years, the global economy has faced considerable downward pressure. The default of a company often leads to the default or even bankruptcy of the related companies, forming a "domino effect". With the continuous improvement of financial market openness and correlation, the contagion effect of individual and industry caused by default dependence is also increasing, and the systemic financial risk caused by contagion will be more destructive. The 2008 global financial crisis proved difficult to warn of. However, before the financial crisis escalated, systemic financial risks went through a long process of risk accumulation. Therefore, under the background of increasingly close economic links between domestic industries and the international economy, it has become an important subject for academia and regulators to study the contagion mechanism of systemic financial risks and prevent the occurrence of systemic financial risks. In this paper, theoretical analysis and empirical analysis are combined, and quantile regression method is used to study Covar. Four industries, namely coal, steel, real estate and bank, are creatively selected to study the contagion effect between individuals and industries. It is found that coal enterprises in Shanxi, iron and steel enterprises in east China, state-owned real estate enterprises and state-owned big Banks have lower risks due to their strong competitiveness in their respective fields, but the risk spillover effect on the industry is differentiated.

Full Text: PDF