Research on the Effect of Financial Market Risk Spillover on the Return of Bank Financial Products
After the implementation of the New Asset Management Regulation,the proportion of bank financial products in the bond market and money market has increased.Analyzing the spillover effect of financial market risks borne by investors is helpful for investors to choose bank financial products.This paper tries to measure the effect of risk spillover in bond market and money market on the yield rate of bank financial products,or the risk contribution to it by adopting spillover index approach,and GARCH model is used to test the effectiveness of the spillover index approach.Furthermore,the influence before and after the implementation of the New Asset Manage-ment Regulation is compared and analyzed.The research shows that:the bond market has a relatively large risk spillover effect on the investment return of bank financial products,the risk spillover effect in money market is rela-tively small,and the bond market changes have a lagging effect on the investment returns of bank financial prod-ucts.Before and after the implementation of the New Asset Management Regulation,the risk spillover effect in bond market and money market on the investment return of bank financial products is higher before and lower after;After the implementation of the New Asset Management Regulation,the risk spillover effect in bond market and money market on the investment return of bank financial products has not significantly enhanced due to an increase in in-vestment proportion.In the future,the risk borne by the investors of bank financial products mainly comes from the investment management of banks.Since the end of the transition period of the New Asset Management Regulations,banks need to further strengthen investment management in the bond market to reduce the risk of in bank financial products.
spillover effect of financial marketNew Asset Management Regulationreturns of bank financial products
万方数据
维普
