Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review

doi:10.3390/e22050588

CSpace

	Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review
	Yang, Xin 1,2; Zhao, Xian 1,2; Gong, Xu 3; Yang, Xiaoguang 4; Huang, Chuangxia 1,2
	2020-05-01
发表期刊	ENTROPY
卷号	22 期号:5 页码:15
摘要	The investigation of the systemic importance of financial institutions (SIFIs) has become a hot topic in the field of financial risk management. By making full use of 5-min high-frequency data, and with the help of the method of entropy weight technique for order preference by similarities to ideal solution (TOPSIS), this paper builds jump volatility spillover network of China's financial institutions to measure the SIFIs. We find that: (i) state-owned depositories and large insurers display SIFIs according to the score of entropy weight TOPSIS; (ii) total connectedness of financial institution networks reveal that Industrial Bank, Ping An Bank and Pacific Securities play an important role when financial market is under pressure, especially during the subprime crisis, the European sovereign debt crisis and China's stock market disaster; (iii) an interesting finding shows that some small financial institutions are also SIFIs during the financial crisis and cannot be ignored.
关键词	financial institution complex network jump volatility entropy weight TOPSIS
DOI	10.3390/e22050588
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of P. R. China[11971076] ; National Natural Science Foundation of P. R. China[51839002] ; National Natural Science Foundation of P. R. China[71701176] ; Hunan Provincial Natural Science Foundation[2019JJ50650] ; Scientific Research Fund of Hunan Provincial Education Department[18C0221] ; Research Promotion Program of Changsha University of Science and Technology[2019QJCZ050]
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000541900700035
出版者	MDPI
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51679
专题	中国科学院数学与系统科学研究院
通讯作者	Huang, Chuangxia
作者单位	1.Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, Peoples R China 2.Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Peoples R China 3.Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yang, Xin,Zhao, Xian,Gong, Xu,et al. Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review[J]. ENTROPY,2020,22(5):15.
APA	Yang, Xin,Zhao, Xian,Gong, Xu,Yang, Xiaoguang,&Huang, Chuangxia.(2020).Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review.ENTROPY,22(5),15.
MLA	Yang, Xin,et al."Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review".ENTROPY 22.5(2020):15.