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Determinants of systemic risk and information dissemination

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  • Bianconi, Marcelo
  • Hua, Xiaxin
  • Tan, Chih Ming

Abstract

We introduce a measure of information dissemination for the determination of systemic risk, print-media consumer pessimism, controlling for VIX volatility. VIX volatility has a significant direct impact upon systemic risk of financial firms under distress, and consumer pessimism does impact upon firm's financial stress via the externality of other firm's financial stress. In the internet bubble of the 1990s, pessimism predicts larger systemic risk in the whole period of exuberance while the VIX predicts a sharp larger systemic risk in the height of the bubble. Our evidence suggests that consumer pessimism might be dominated by the VIX when predicting systemic risk.

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  • Bianconi, Marcelo & Hua, Xiaxin & Tan, Chih Ming, 2015. "Determinants of systemic risk and information dissemination," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 352-368.
    • Handle: RePEc:eee:reveco:v:38:y:2015:i:c:p:352-368
    DOI: 10.1016/j.iref.2015.03.010
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    Cited by:

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    2. Madhavi Latha Challa & Venkataramanaiah Malepati & Siva Nageswara Rao Kolusu, 2018. "Forecasting risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-17, December.
    3. Song, Jianhua & Zhang, Zhepei & So, Mike K.P., 2021. "On the predictive power of network statistics for financial risk indicators," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    4. Tom Marty & Bruce Vanstone & Tobias Hahn, 2020. "News media analytics in finance: a survey," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1385-1434, June.
    5. Shan Jiang & Hsinchun Chen, 2019. "Examining patterns of scientific knowledge diffusion based on knowledge cyber infrastructure: a multi-dimensional network approach," Scientometrics, Springer;Akadémiai Kiadó, vol. 121(3), pages 1599-1617, December.
    6. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
    7. Shuting Liu & Qifa Xu & Cuixia Jiang, 2021. "Systemic risk of China’s commercial banks during financial turmoils in 2010-2020: A MIDAS-QR based CoVaR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 28(18), pages 1600-1609, October.
    8. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

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    More about this item

    Keywords

    Conditional value-at-risk; VIX; Externality; Consumer pessimism;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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