International Commerce Department, Concord University College, Fujian Normal University, Fuzhou, China.
Department of Management Sciences, COMSATS University, Islamabad, Islamabad, Pakistan.
PLoS One. 2024 Jul 8;19(7):e0288310. doi: 10.1371/journal.pone.0288310. eCollection 2024.
This research explores the link between stock markets and banking deposits in South Asian (Pakistan, India, Sri Lanka, Nepal) countries. This study empirically examines the systemic risk potential of financial institutions in South Asia using current systemic risk statistics. Yearly data on stock prices and banking deposits from January 2000 to December 2020 were analyzed using a two-stage process. In the first phase, we measure VaR (value at risk), and in the second step, we measure the DCC GARCH model for our empirical analysis. The study findings reveal systemic risk spillover between the stock markets of South Asian countries and the relevant country's banking system deposits. The policymakers can use our study findings to create a more sustainable financial sector.
本研究探讨了南亚（巴基斯坦、印度、斯里兰卡、尼泊尔）国家股票市场和银行存款之间的联系。本研究使用当前的系统性风险统计数据，从实证角度考察了南亚金融机构的系统性风险潜在性。使用两阶段法分析了 2000 年 1 月至 2020 年 12 月的股票价格和银行存款年度数据。在第一阶段，我们衡量了 VaR（风险价值），在第二步，我们为实证分析衡量了 DCC GARCH 模型。研究结果表明，南亚国家的股票市场与相关国家的银行系统存款之间存在系统性风险溢出。政策制定者可以利用我们的研究结果来创建一个更可持续的金融部门。
