Research on the Risk Spillover Effects of Stock Market on Commercial Banks in China

This paper analyzes the risk spillover effects of the stock market on commercial banks from a new perspective. First, we use the Granger causality test to verify the relationship between the stock market and the commercial banks. Then, we use the CoVaR model based on quantile regressions to calculate the risk spillover effects of the stock market to commercial banks. Although the risk level of the state-owned banks is relatively minimal, the banks experience the largest risk spillover effects in the stock market. The risk spillover effects of the stock market to the city commercial banks are in the middle, while the overall systematic risk impacts of the stock market on the joint-stock banks are small. In addition, the sensitivity of the state-owned banks, joint-stock banks, and city commercial banks to the stock market increased gradually. The results of this paper have important policy implications for weakening the impacts of the stock market on commercial banks, and reducing external risks on commercial banks.