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Abstract:
Encouraged constantly by government policy, Internet finance achieved a full-speed development in China. Since 2016, however, a large number of P2P platforms have gone bankrupt. The risks and crises arising from P2P platforms are being transmitted to the commercial banks as there are various capital trusteeship relations between P2P industry and banking industry. DCC-BEKK-MVGARCH model is adopted to verify the risk contagion mechanism. We use the daily income of each platform from July 1, 2013 to July 1, 2017 to make the P2P platform development index, and match them with the Shanghai Stock Exchange Index to explore the risk linkage between Internet finance and banking industry and the direction of risk spill over effects. The results show that there exists a risk linkage between P2P industry and banking industry, and the direction is from P2P platforms to banks. Among them, the P2P platforms in the listing system are more contagious, followed by the P2P platforms of the private sector, the P2P platforms of the state-owned system and the P2P platforms of the VC system respectively.
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