Systemic importance of Chinese financial institutions based on the QC-ISAM-ARMA temporal network with coupling
Author
Abstract
Suggested Citation
DOI: 10.1016/j.qref.2025.101979
Download full text from publisher
As the access to this document is restricted, you may want to
for a different version of it.References listed on IDEAS
- Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
- Diebold, Francis X. & Yılmaz, Kamil, 2014.
"On the network topology of variance decompositions: Measuring the connectedness of financial firms,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
- Fenghua Wen & Xin Yang & Wei‐Xing Zhou, 2019. "Tail dependence networks of global stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 558-567, January.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017.
"Measuring Systemic Risk,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
- Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya, 2011. "Measuring Systemic Risk," World Scientific Book Chapters, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres (ed.), Macroprudential Regulatory Policies The New Road to Financial Stability?, chapter 10, pages 133-143, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya, 2010. "Measuring systemic risk," Proceedings 1140, Federal Reserve Bank of Chicago.
- Richardson, Matthew P & Philippon, Thomas & Acharya, Viral & Pedersen, Lasse Heje, 2012. "Measuring Systemic Risk," CEPR Discussion Papers 8824, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010. "Measuring systemic risk," Working Papers (Old Series) 1002, Federal Reserve Bank of Cleveland.
- Cao, Jie & Wen, Fenghua & Stanley, H. Eugene & Wang, Xiong, 2021. "Multilayer financial networks and systemic importance: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Shoukun Jiao & Wuyi Ye, 2022. "Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1203-1229, March.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Huang, Wei-Qiang & Wang, Dan, 2018. "A return spillover network perspective analysis of Chinese financial institutions’ systemic importance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 405-421.
- Laeven, Luc & Ratnovski, Lev & Tong, Hui, 2016. "Bank size, capital, and systemic risk: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 69(S1), pages 25-34.
- Armanious, Amir, 2024. "Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system," Journal of Financial Stability, Elsevier, vol. 73(C).
- Zhao, Longfeng & Wang, Gang-Jin & Wang, Mingang & Bao, Weiqi & Li, Wei & Stanley, H. Eugene, 2018.
"Stock market as temporal network,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1104-1112.
- Longfeng Zhao & Gang-Jin Wang & Mingang Wang & Weiqi Bao & Wei Li & H. Eugene Stanley, 2017. "Stock market as temporal network," Papers 1712.04863, arXiv.org.
- Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Zakaria, Muhammad, 2018.
"A global network topology of stock markets: Transmitters and receivers of spillover effects,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2136-2153.
- Syed Jawad Hussain Shahzad & Jose Areola Hernandez & Mobeen Ur Rehman & Khamis Hamed Al-Yahyaee & Muhammad Zakaria, 2018. "A global network topology of stock markets: Transmitters and receivers of spillover effects," Post-Print hal-01994762, HAL.
- Xue Cui & Lu Yang, 2024. "Systemic risk and idiosyncratic networks among global systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 58-75, January.
- Chen, Wei & Hou, Xiaoli & Jiang, Manrui & Jiang, Cheng, 2022. "Identifying systemically important financial institutions in complex network: A case study of Chinese stock market," Emerging Markets Review, Elsevier, vol. 50(C).
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019.
"Quantile coherency networks of international stock markets,"
Finance Research Letters, Elsevier, vol. 31(C), pages 119-129.
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," EconStor Preprints 194568, ZBW - Leibniz Information Centre for Economics.
- Wang, Hu & Liu, Xin, 2024. "Volatility spillover features in financial industries and identification of systemically important financial institutions: A new perspective," Pacific-Basin Finance Journal, Elsevier, vol. 83(C).
- Jozef BarunÃk & Tobias Kley, 2019.
"Quantile coherency: A general measure for dependence between cyclical economic variables,"
The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
- Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
- Yang, Ming-Yuan & Wu, Zhen-Guo & Wu, Xin & Li, Sai-Ping, 2024. "Influential risk spreaders and systemic risk in Chinese financial networks," Emerging Markets Review, Elsevier, vol. 60(C).
- Yan, Chun & Ding, Yi & Liu, Wei & Liu, Xinhong & Liu, Jiahui, 2023. "Multilayer interbank networks and systemic risk propagation: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 628(C).
- Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
- Yang, Xin & Wen, Shigang & Zhao, Xian & Huang, Chuangxia, 2020. "Systemic importance of financial institutions: A complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Bai, Lan & Zhang, Xuhui & Liu, Yuntong & Wang, Qian, 2019. "Economic risk contagion among major economies: New evidence from EPU spillover analysis in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Li, Bingqing & Zhang, Xiaoyuan, 2024. "Systemic risk and financial networks," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 25-36.
- Shi, Qing & Sun, Xiaoqi & Jiang, Yile, 2022. "Concentrated commonalities and systemic risk in China's banking system: A contagion network approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Fei Wu & Zhiwei Zhang & Dayong Zhang & Qiang Ji, 2023. "Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach," Annals of Operations Research, Springer, vol. 330(1), pages 119-153, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Su, Zhi & Xu, Fuwei, 2021. "Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- Fuwei Xu, 2024. "Modeling the Paths of China’s Systemic Financial Risk Contagion: A Ripple Network Perspective Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 47-73, January.
- Zhou, Xuewei & Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe, 2024. "Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
- Jiang, Cheng & Sun, Qian & Ye, Tanglin & Wang, Qingyun, 2023. "Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
- Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Wang, Dan & Huang, Wei-Qiang, 2021. "Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
- Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
- Yao, Haixiang & Jiang, Xiaoqing, 2025. "The performance of industry risk spillover under extreme events: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
- Qicheng Zhao & Zhouwei Wang & Yuping Song, 2024. "Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 1137-1162, August.
- Chen, Bin-xia & Sun, Yan-lin, 2024. "Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Xiaoyu Liu & Xiaoli Chen, 2021. "Can “Concerted” Macroprudential Policies Mitigate Cross‐border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 29(3), pages 26-54, May.
- Yang, Xin & Wen, Shigang & Zhao, Xian & Huang, Chuangxia, 2020. "Systemic importance of financial institutions: A complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Zhang, Yan & Xu, Yushi & Zhu, Xintong & Huang, Jionghao, 2024. "Coal price shock propagation through sectoral financial interconnectedness in China's stock market: Quantile coherency network modelling and shock decomposition analysis," Journal of Commodity Markets, Elsevier, vol. 34(C).
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019.
"Quantile coherency networks of international stock markets,"
Finance Research Letters, Elsevier, vol. 31(C), pages 119-129.
- Baumöhl, Eduard & Shahzad, Syed Jawad Hussain, 2019. "Quantile coherency networks of international stock markets," EconStor Preprints 194568, ZBW - Leibniz Information Centre for Economics.
- Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhai, Kaikai, 2021. "Multiscale and partial correlation networks analysis of risk connectedness in global equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
- Deev, Oleg & Lyócsa, Štefan, 2020. "Connectedness of financial institutions in Europe: A network approach across quantiles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
- Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Caterina Pastorino & Pierpaolo Uberti, 2024. "An empirical comparison of correlation-based systemic risk measures," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(3), pages 2289-2314, June.
- Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
- Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
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:eee:quaeco:v:101:y:2025:i:c:s1062976925000201. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620167 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.