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Assessing systemic importance using multilayer dynamic networks: Evidence from China’s stock market

Author

Listed:
  • Yue Zhang

    (Audencia Business School)

  • Haozhi Chen
  • Xiaolei He

    (Guangzhou University)

Abstract

This study develops a multilayer dynamic network framework to evaluate the systemic importance of 348 firms listed in China's A-share market over the period 2010-2021. By employing the maximum mutual information coefficient (MIC), the model captures both linear and nonlinear interdependencies, integrating firm-specific tail risk indicators and tradingbased metrics. Topological analysis of the network, including connectivity, clustering, and centrality measures, reveals structural drivers of systemic risk propagation. The results show that firms with high centrality and interconnectedness disproportionately amplify systemic vulnerabilities, underscoring their critical roles in financial stability. The multilayer dynamic framework significantly enhances the precision of systemic risk assessment compared to traditional single-layer models. This study contributes to systemic risk literature by extending advanced network methodologies to emerging markets and offers actionable insights for policymakers and regulators to design effective risk mitigation strategies.

Suggested Citation

  • Yue Zhang & Haozhi Chen & Xiaolei He, 2025. "Assessing systemic importance using multilayer dynamic networks: Evidence from China’s stock market," Post-Print hal-05306848, HAL.
    • Handle: RePEc:hal:journl:hal-05306848
    DOI: 10.1016/j.iref.2025.104279
    Note: View the original document on HAL open archive server: https://hal.science/hal-05306848v1
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    References listed on IDEAS

    as
    1. Fang, Libing & Sun, Boyang & Li, Huijing & Yu, Honghai, 2018. "Systemic risk network of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 190-206.
    2. Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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