KMS Of Academy of mathematics and systems sciences, CAS
| Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review | |
| Yang, Xin1,2; Zhao, Xian1,2; Gong, Xu3; Yang, Xiaoguang4; Huang, Chuangxia1,2 | |
| 2020-05-01 | |
| Source Publication | ENTROPY
 |
| Volume | 22Issue:5Pages:15 |
| Abstract | 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. |
| Keyword | financial institution complex network jump volatility entropy weight TOPSIS |
| DOI | 10.3390/e22050588 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | 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 Research Area | Physics |
| WOS Subject | Physics, Multidisciplinary |
| WOS ID | WOS:000541900700035 |
| Publisher | MDPI |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/51679 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Huang, Chuangxia |
| Affiliation | 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 |
| Recommended Citation 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. |
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