Analysis of Risk Spillover Effect in Internet Financial Market based on Dynamic Factor Coupla Model

Pingping Wu

doi:10.54691/88ytfx54

Authors

Pingping Wu

DOI:

https://doi.org/10.54691/88ytfx54

Keywords:

Internet Finance; Risk Spillover Effects; Dynamic Factor Copula Model; Systemic Importance Degree; Joint Probability of Distress.

Abstract

This paper employs a Dynamic Factor Copula Model to empirically investigate the risk spillover effects in the internet finance market. Using stock return data from 19 listed companies primarily engaged in internet finance between January 2021 and June 2024, we quantify risk contagion mechanisms across different business modules by constructing metrics such as Joint Probability of Distress (JPD). The results indicate that risk spillover effects in the internet finance market exhibit significant time-varying and sector-heterogeneous characteristics. Policy changes, international conflicts, and economic events are identified as critical factors influencing market volatility and risk contagion. Furthermore, a Shapley value-based feature contribution analysis reveals the driving roles of market sentiment, valuation levels, and liquidity in risk spillovers. This study provides theoretical and empirical support for internet finance risk regulation and offers policy recommendations for categorized supervision and systemic risk prevention.

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