Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions

doi:10.1002/ijfe.2470

CSpace

	Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions
	Yang, Xin 1; Chen, Shan 1; Liu, Hong 2; Yang, Xiaoguang 3; Huang, Chuangxia 1
	2021-01-20
发表期刊	INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
ISSN	1076-9307
页码	13
摘要	The identification of systemically important financial institutions (SIFIs) is an important measure to deal with systemic risks. To achieve this goal, we first use generalized variance decomposition method and granger causality test to construct jump volatility spillover networks of Chinese financial institutions based on the 5-min high-frequency data. Then, out-strength and in-strength are adopted to analyze the SIFI. Finally, we use panel data regression model to investigate the determinant of the SIFIs. The empirical results show that: (a) The network density reaches a peak when the financial system under pressure during the China's stock market disaster of 2015. (b) Large banks and insurances usually display systemic importance, while some small financial institutions are also SIFIs due to their high value of out-strength and in-strength. (c) There are obvious differences in the factors that affect the out-strength and in-strength based on panel data regression model, but turnover rate, jump volatility, firm size and growth rate of total assets are the common driving factors.
关键词	Financial institution network jump volatility panel data regression model
DOI	10.1002/ijfe.2470
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of P. R. China[71850008] ; National Natural Science Foundation of P. R. China[71471020] ; Natural Science Foundation of Hunan Province[2019JJ50650] ; Scientific Research Foundation of Hunan Provincial Education Department[18C0221]
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:000609022500001
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/57998
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, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Hunan, Peoples R China 2.Cent South Univ Forestry & Technol, Sch Econ, Changsha, Hunan, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Yang, Xin,Chen, Shan,Liu, Hong,et al. Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,2021:13.
APA	Yang, Xin,Chen, Shan,Liu, Hong,Yang, Xiaoguang,&Huang, Chuangxia.(2021).Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions.INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,13.
MLA	Yang, Xin,et al."Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions".INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2021):13.