Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions

We propose partial cross-quantilogram networks for measuring the connectedness of 30 China’s financial institutions at different quantiles. We find that networks at the extreme quantiles are more closely connected than those at the median quantile. The network density and centrality show that the systemically important financial institutions vary across different quantiles. We observe an asymmetric effect in quantile connectedness during the period of “2015–16 Chinese stock market turbulence;” that is, the network connectedness at the lower quantile (i.e., 0.05 quantile) is higher than that at the upper and median quantiles (i.e., 0.95 and 0.50 quantiles). By analyzing the similarity of networks across quantiles, we find that the similarity index is relatively high in the crisis period. Our study provides useful information on connectedness of financial institutions for regulators and investors.