IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v56y2020i6p1312-1335.html
   My bibliography  Save this article

Measuring Systemic Risk Contagion Effect of the Banking Industry in China: A Directed Network Approach

Author

Listed:
  • Zi-Sheng Ouyang
  • Ying Huang
  • Yun Jia
  • Chang-Qing Luo

Abstract

To capture the impact of investor sentiment on risk contagion of financial institutions and potential tail risks caused by financial network structure, this paper uses a directed network approach to measure systemic risk contagion effect of Chinese banking industry. We use linear quantile lasso regression and local polynomial method to estimate TENET model, and construct a weighted directed network. Moreover, we study directed network from different perspectives, analyze financial risk contagion effect and the influence of investor sentiment on financial risk contagion, and identify systemically important financial institutions. We find that: (1) As crisis spreads, financial system becomes more closely related, and total network connectivity continues to rise until it reaches a maximum value. (2) Total network connectivity and systemic risk have the same upward or downward trend, but systemic risk lags behind total network connectivity. (3) Current bank has characteristics of “too big to fail” and “too contact to fail”.

Suggested Citation

  • Zi-Sheng Ouyang & Ying Huang & Yun Jia & Chang-Qing Luo, 2020. "Measuring Systemic Risk Contagion Effect of the Banking Industry in China: A Directed Network Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(6), pages 1312-1335, May.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:6:p:1312-1335
    DOI: 10.1080/1540496X.2019.1711368
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2019.1711368
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2019.1711368?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ouyang, Zisheng & Chen, Shili & Lai, Yongzeng & Yang, Xite, 2022. "The correlations among COVID-19, the effect of public opinion, and the systemic risks of China’s financial industries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    2. Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:56:y:2020:i:6:p:1312-1335. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.