Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review
文献类型：期刊论文
| 作者 | Yang, Xin1,4; Zhao, Xian1,4; Gong, Xu2; Yang, Xiaoguang3; Huang, Chuangxia1,4 |
| 刊名 | ENTROPY
 |
| 出版日期 | 2020-05-01 |
| 卷号 | 22期号:5页码:15 |
| 关键词 | financial institution complex network jump volatility entropy weight TOPSIS |
| DOI | 10.3390/e22050588 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000541900700035 |
| 出版者 | MDPI |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51678]  |
| 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, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410114, Peoples R China 2.Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 4.Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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