KMS Of Academy of mathematics and systems sciences, CAS
| Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions | |
| Yang, Xin1; Chen, Shan1; Liu, Hong2; Yang, Xiaoguang3; Huang, Chuangxia1 | |
| 2021-01-20 | |
| Source Publication | INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
 |
| ISSN | 1076-9307 |
| Pages | 13 |
| Abstract | 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. |
| Keyword | Financial institution network jump volatility panel data regression model |
| DOI | 10.1002/ijfe.2470 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | 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 Research Area | Business & Economics |
| WOS Subject | Business, Finance |
| WOS ID | WOS:000609022500001 |
| Publisher | WILEY |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/57998 |
| 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, 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 |
| Recommended Citation 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. |
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