Study on Risk Spillover Effects of Shadow Banks on Traditional Banks in China

摘要

This paper selected the 29 shares of listed companies as samples, including 13 shadow banks. This paper will use the company's shares daily closing price as the research sample and use GARCH model to calculate the VaR and CoVaR value of the company's share price gains. The empirical results show that compared with the traditional banking institutions, shadow banking institutions risk spillover effect more big, the banking supervision departments should strengthen the regulation of such institutions to prevent the happening of the financial crisis.