On the risk commonality of US tech firms: Relevance and determinants
研究发现美国标普500指数中的科技公司比非科技公司/非银行具有更高的风险共同性，且随时间增加，其内部风险共同性主要由系统性风险因素驱动，而公司特定变量与总风险共同性关联微弱。
Technology firms serve as critical data and service intermediaries, which may pose new challenges to financial stability. We apply market-based systemic risk measures designed initially for financial firms to measure the risk commonality of tech firms included in the S&P 500 index. First, we find that, on average, the level of total risk commonality of tech firms is larger than for non-tech firms/non-banks. The difference between the level of risk commonality of tech firms and non-tech firms/non-banks increases over time. Second, we observe a high intra-group risk commonality for tech firms. Third, we find that the intra-group risk commonality of tech firms is driven to a larger extent by exposure to systematic risk factors than this is the case for banks. Fourth, in contrast, there is weak evidence that the inter-group risk commonality of tech firms is driven to a larger extent by non-systematic risk factors (e.g., direct business relationships) than this is the case for banks. Fifth, we hardly find balance-sheet or other firm-specific variables that are significantly associated with the level of total risk commonality of tech firms. Our results indicate that regulators should also look for risk accumulation outside the traditional financial world. • Tech firms serve as data and service intermediaries posing challenges on financial stability • Tech firms exhibit higher risk commonality than average non-tech firms/non-banks • Hardly any firm-specific variables are associated with total risk commonality