Measuring the risk of Chinese Fintech industry: evidence from the stock index

This study measures the risk of the emerging Fintech industry in China and identifies its influencing risk factors by calculating the tail risk of Fintech stock index. The expectile regression model that includes the lagged returns and macroeconomic risk factors is used to calculate the Expectile Value-at-Risk (EVaR). Based on the 1230 daily returns of Fintech index ranges from July 2, 2014, to September 10, 2019, the empirical results indicate...