Journal of Northeastern University(Natural Science) ›› 2021, Vol. 42 ›› Issue (4): 582-588.DOI: 10.12068/j.issn.1005-3026.2021.04.018

• Management Science • Previous Articles     Next Articles

Research on Risk Contagion of China′s Real Estate Industry and Banking Industry Based on Copula Function

YUAN Ying, LIU Rui, XU Bo   

  1. School of Business Administration, Northeastern University, Shenyang 110169, China.
  • Revised:2020-07-27 Accepted:2020-07-27 Published:2021-04-15
  • Contact: YUAN Ying
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Abstract: Aiming at the non-linear, dynamic time-varying complex relationship between the real estate industry and the banking industry, taking the daily data from 2005-01-04 to 2018-12-28 as the research sample, the dynamic time-varying Copula function was used to test the nonlinear interdependence and the risk contagion between China′s real estate industry and the banking industry, and three contagion channels were explored based on financial association theory and behavioral finance theory. The results showed that there is a non-linear and asymmetric dependent structure between China′s real estate industry and banking industry. Compared with the non-crisis period, the two industries′ tail dependence is significantly increased during the financial crisis, so there is a risk of contagion. The results of the contagion channel research showed that liquidity and investor sentiment are the channels of risk contagion between China′s real estate industry and banking industry while information association is not the channel of risk contagion between them.

Key words: risk contagion; liquidity; investor sentiment; information association; Copula function

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