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Fintech and Cross‐Sector Volatility Spillovers in the Chinese Stock Market: A Frequency‐Heterogeneity Perspective

Author

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  • Xin Li
  • Mengyun Guan
  • Zhengzheng Li

Abstract

Based on data spanning January 2001 to December 2022, this paper employs the frequency connectedness method to measure the cross‐frequency volatility spillovers between the financial industry and other industries in the Chinese stock market, and utilizes the joint impulse response function to examine the joint impact of multiple dimensions of fintech on these spillover effects. The measurement of multiple dimensions of fintech innovatively employs the TF‐IDF algorithm, utilizing a vast array of Chinese news reports. The findings reveal strong total volatility spillovers and risk vulnerability across sectors, which are significantly amplified under external shocks. Moreover, spillover effects in the short‐term frequency band (within 1 year) are more pronounced than those in the long‐term frequency band (beyond 1 year), suggesting that cross‐sector risk contagion diminishes over the long run as policies improve. Further analysis indicates that fintech enhances short‐term volatility spillovers while mitigating long‐term spillovers. Additionally, the influence of various fintech dimensions on volatility spillovers exhibits heterogeneity, underscoring the dual role of fintech development across different frequency domains. This paper reveals the frequency domain heterogeneity in how fintech influences inter‐sector risk contagion, aiding in understanding the new characteristics of financial risk transmission under the backdrop of fintech, thereby assisting in the comprehensive construction of a risk warning system under new circumstances.

Suggested Citation

  • Xin Li & Mengyun Guan & Zhengzheng Li, 2026. "Fintech and Cross‐Sector Volatility Spillovers in the Chinese Stock Market: A Frequency‐Heterogeneity Perspective," Australian Economic Papers, Wiley Blackwell, vol. 65(2), pages 177-189, June.
    • Handle: RePEc:bla:ausecp:v:65:y:2026:i:2:p:177-189
    DOI: 10.1111/1467-8454.70015
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