Yixing Guo, Jingwen Chu

(School of Finance, Yunnan University of Finance and Economics)

Abstract：

With the formal implementation of the Guiding Opinions on Standardizing Asset Management Business of Financial Institutions, the investment proportion of bank wealth management products in the bond market and money market has increased. Analyzing the spillover effects of financial market risks borne by investors is beneficial for investors to choose bank wealth management products. This article uses the spillover index method to measure the effect or risk contribution of risk spillover between the bond market and the money market on the yield of bank wealth management products, and uses the GARCH model to test the effectiveness of the spillover index method. Then, a comparative analysis is conducted on the impact before and after the implementation of the "Guiding Opinions on Standardizing Asset Management Business of Financial Institutions". Research has shown that the bond market has a relatively large risk spillover effect on the investment returns of bank wealth management products, while the risk spillover effect of the money market is relatively small. Moreover, changes in the bond market have a lag effect on the investment returns of bank wealth management products. Before and after the implementation of the Guiding Opinions on Standardizing the Asset Management Business of Financial Institutions, the risk spillover effects of the bond market and the money market on the investment returns of bank wealth management products showed an initial high and subsequent low trend. After the implementation of the Guiding Opinions on Standardizing the Asset Management Business of Financial Institutions, the risk spillover effects of the bond market and money market on the returns of bank wealth management products have not significantly increased due to the increase in investment proportion. In the future, the risks borne by investors in bank wealth management products will mainly come from the bank's investment management. Banks need to further strengthen investment management in the bond market to reduce the risk for investors of bank wealth management products.

Key Words：

financial market risk spillover; new regulations on asset management; income from bank wealth management products