Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions
文献类型：期刊论文
| 作者 | Yang, Xin1; Chen, Shan1; Liu, Hong2; Yang, Xiaoguang3; Huang, Chuangxia1 |
| 刊名 | INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
 |
| 出版日期 | 2021-01-20 |
| 页码 | 13 |
| 关键词 | Financial institution network jump volatility panel data regression model |
| ISSN号 | 1076-9307 |
| DOI | 10.1002/ijfe.2470 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000609022500001 |
| 出版者 | WILEY |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/57997]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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