With the accelerated pace of financial liberalization, China's banking industry has continued to introduce intersecting businesses and products, and the degree of inter-institutional linkages has exceeded any previous period. The increasingly complex network of relationships between banking institutions has also led to the rapid spread of financial risks in banking institutions, resulting in the transformation of local risks of micro-individuals into large-scale systemic financial risks. In this paper, eight listed commercial banks in China are selected as samples, and this paper is based on the Diebold & Yilmaz volatility spillover index model to carry out the study of risk spillover effects. It is found that the total risk spillover index among listed commercial banks in China is 76.19%, and there is asymmetry in the spillover effect among banks. State-owned commercial banks are net risk exporters, and joint-stock commercial banks and urban commercial banks are net risk receivers. The analysis of dynamic spillover effect shows that the total spillover index keeps changing during the observation period, and the total spillover value has been at a high level, which indicates that there is a large risk spillover among listed commercial banks in China. As a result, regulators need to realize that it is more important to incorporate interbank correlation and the resulting risk spillover effects into the research framework than bank size.

Qian Shan. A Study of Risk Spillovers among Listed Commercial Banks in China. Academic Journal of Business & Management (2023) Vol. 5, Issue 24: 64-69. https://doi.org/10.25236/AJBM.2023.052409.

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