多元化经营、业务相似性与银行系统性风险

doi:10.16381/j.cnki.issn1003-207x.2021.2663

Abstract

Abstract:

The relationship between diversification and similarity is explored through the systemic model of banking originated losses to measure systemic risk in the banking of China when facing stress tests. The impact of diversification on the systemic risk is then analyzed using similarity as a mediating variable to reveal the contagion process of systemic risk and clarify the formation mechanism of systemic risk. The results show that large banks are usually able to reduce their business similarity through diversification， and for some small and medium-sized banks the promotion of business similarity by diversification is more obvious. The contagion risks caused by excessive business similarity is currently a key factor affecting the stability of the banking market in China. Although business similarity promotes the contagion of systemic risk， it has a double effect for large state-owned commercial banks， which can disperse shocks from other banks through the advantage of being “too big to fail” without serious systemic risks. The above findings provide regulatory references for the business transformation and systemic risk prevention of commercial banks in China.

Key words: investment diversification, business similarity, systemic risk

CLC Number:

F830

Chao Wang,Jianmin He,Xiaoxing Liu. Investment Diversification, Business Similarity and Systemic Risk[J]. Chinese Journal of Management Science, 2025, 33(11): 1-13.

Figures/Tables 12

	(1)	(2)	(3)
门限值	0.55	0.41	0.51
$D I V D I V ≤ λ$	0.12^*** (0.03)	0.49^*** (0.06)	0.25^*** (0.04)
$D I V D I V > λ$	-0.17^*** (0.02)	-0.12^*** (0.02)	-0.16^*** (0.02)
时间固定	是	否	是
类别固定	否	是	是
观测数量	2730	2730	2730

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银行类别	<门限值	>门限值	平均值	数量
A	1.25%	98.75%	0.66	81
B	10.34%	89.66%	0.65	203
C	12.69%	87.31%	0.66	1032
D	20.41%	79.59%	0.58	1132
E	14.18%	85.82%	0.59	282

	(1)	(2)	(3)	(4)	(5)	(6)
DIV	0.97^** (0.45)	0.20^*** (0.06)	0.47 (0.41)	0.97^** (0.47)	0.20^*** (0.06)	0.43 (0.43)
DIV²	-1.56^*** (0.40)	-0.58^*** (0.06)	-0.69^* (0.37)	-1.45^*** (0.42)	-0.58^*** (0.06)	-0.57 (0.39)
SIM			3.12^*** (0.14)			3.14^*** (0.15)
CAP	-0.41^*** (0.00)	-0.00 (0.00)	-0.41^*** (0.00)	-0.41^*** (0.00)	-0.00 (0.00)	-0.42^*** (0.00)
ASS	1.02^*** (0.01)	-0.00^*** (0.00)	1.04^*** (0.01)	1.01^*** (0.01)	-0.00^*** (0.00)	1.03^*** (0.01)
时间固定	-0.41 (0.30)	0.86^*** (0.04)	-3.10^*** (0.30)	-0.72^** (0.31)	0.86^*** (0.04)	-3.41^*** (0.32)
类别固定	是	是	是	是	是	是
观测数量	是	是	是	是	是	是
Adj. R²	2662	2729	2662	2658	2729	2658

Investment Diversification, Business Similarity and Systemic Risk

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