4.5 Article

Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions

期刊

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
卷 28, 期 2, 页码 1201-1213

出版社

WILEY
DOI: 10.1002/ijfe.2470

关键词

Financial institution network; jump volatility; panel data regression model

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This study constructs jump volatility spillover networks of Chinese financial institutions based on high-frequency data and analyzes SIFIs. The empirical results show that network density reaches its peak during periods of high financial system pressure. Large banks and insurances are usually considered to have systemic importance, and some small financial institutions may also be SIFIs due to their high out-strength and in-strength. Factors affecting out-strength and in-strength vary, but turnover rate, jump volatility, firm size, and growth rate of total assets are common driving factors.
The identification of systemically important financial institutions (SIFIs) is an important measure to deal with systemic risks. To achieve this goal, we first use generalized variance decomposition method and granger causality test to construct jump volatility spillover networks of Chinese financial institutions based on the 5-min high-frequency data. Then, out-strength and in-strength are adopted to analyze the SIFI. Finally, we use panel data regression model to investigate the determinant of the SIFIs. The empirical results show that: (a) The network density reaches a peak when the financial system under pressure during the China's stock market disaster of 2015. (b) Large banks and insurances usually display systemic importance, while some small financial institutions are also SIFIs due to their high value of out-strength and in-strength. (c) There are obvious differences in the factors that affect the out-strength and in-strength based on panel data regression model, but turnover rate, jump volatility, firm size and growth rate of total assets are the common driving factors.

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