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<p>Using daily data from January 5, 2012, to June 28, 2024, this study applies a novel DCC-GARCH <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\({R}^{2}\)</EquationSource> <EquationSource Format="MATHML"><math> <msup> <mrow> <mi>R</mi> </mrow> <mn>2</mn> </msup> </math></EquationSource> </InlineEquation> decomposed connectedness algorithm to analyze the spillover effects between Chinese fintech assets (FNTC) and traditional financial sector assets—banking (BANK), securities (SECU), and insurance (INSR). The role of FNTC in enhancing investment strategies for these assets is also explored. The distinct distribution and significant asset correlation of FNTC provide statistical support for investment strategy optimization. FNTC is shown to effectively hedge risk exposure, with multivariate hedging strategies outperforming those of bivariate ones. Bivariate FNTC portfolios outperform single assets in Sharpe ratio, indicating more effective strategies. Multivariate portfolios don't always beat bivariate ones. Notably, the classic Minimum Variance Portfolio rival modern strategies, highlighting contextual selection's importance. This research provides strategic insights for China's finance and fintech, advancing the field from a portfolio perspective.</p>

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Does investment in fintech assets enhance performance in China’s financial sector? Evidence from multiple investment strategies

  • 期刊论文

  • 发表日期：

    2025年2月19日

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  • Xin Li,
  • Kai-Hua Wang

摘要

Using daily data from January 5, 2012, to June 28, 2024, this study applies a novel DCC-GARCH \({R}^{2}\) R 2 decomposed connectedness algorithm to analyze the spillover effects between Chinese fintech assets (FNTC) and traditional financial sector assets—banking (BANK), securities (SECU), and insurance (INSR). The role of FNTC in enhancing investment strategies for these assets is also explored. The distinct distribution and significant asset correlation of FNTC provide statistical support for investment strategy optimization. FNTC is shown to effectively hedge risk exposure, with multivariate hedging strategies outperforming those of bivariate ones. Bivariate FNTC portfolios outperform single assets in Sharpe ratio, indicating more effective strategies. Multivariate portfolios don't always beat bivariate ones. Notably, the classic Minimum Variance Portfolio rival modern strategies, highlighting contextual selection's importance. This research provides strategic insights for China's finance and fintech, advancing the field from a portfolio perspective.