跨部门金融机构系统重要性和共振效应的动态演化研究——基于中国A股市场的实证

doi:10.16381/j.cnki.issn1003-207x.2020.04.004

Abstract

Abstract: Financial institutions play an important role on the stability of financial system due to scale and interconnectedness. Too big to fail or too relevant to fail is not only one of the difficulties in academic research, but also the focus of industry and regulatory agencies.Based on up to about 10 years' return of financial institutions' cross-cycle heterogeneity risk, the financial sectors' interconnected networks are constructed through Granger causality, and the dynamic evolution of causal interconnected networks within and among banks, brokers, insurances and trusts sector is analyzed under different market states. Different financial sectors' capital market performance characteristics under the bull, the bear and the shock market are obtained from aspects of institution centrality, interconnectedness, system tightness,subgroup and core-edge structure. The empirical results show that China's financial system is becoming more integrated and interconnected. The influence of the bank and broker sectors is significantly higher than that of the insurance and trust sectors. The dynamic Granger correlation of the bank and insurance sectors is enhanced in bull market and weakened in bear market.The bank sector has become the most systemically important sector in China's financial system.The results of this study can provide important references for the financial institution supervision and systemic risk control as well as provide inspiring significance of capital market investment.

Key words: inter-sector, Granger-causalitynetwork, centrality, dynamicinterconnectedness, systemic importance

CLC Number:

F83.2

CHEN Mu-zi, ZHAO Ting-ting, LIU Cheng-lin, CHEN Min. Dynamic Evolution Study on Inter-sector Financial Institution Systemic Importance and Resonance Effects[J]. Chinese Journal of Management Science, 2020, 28(4): 36-47.

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Dynamic Evolution Study on Inter-sector Financial Institution Systemic Importance and Resonance Effects

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