<p>Internet money market funds (IMMFs) are China’s most wildly participated Internet financial products. This research mainly focused on the liquidity risk of IMMFs by establishing a La-VaR model with the cost of unit liquidity and further discussed the liquidity risk spillover between different IMMFs with La-VaR and minimum spanning tree algorithm. The results show the following: (a) The proposed La-VaR model is superior to the conventional VaR in evaluating the liquidity risk of IMMFs. The case study on Yu’E Bao also proves its superiority. (b) IMMFs with greater yield volatility face more significant liquidity risk pressure. (c) Risk spillover effects exist in IMMFs, and IMMFs with an extensive fund scale are more likely to spread liquidity risk to the entire market.</p>
<p> </p>
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.