Volatility Spillover Effect of Chinese Listed Commercial Banks-Based on Complex Network
MAO Changmei1, 3, HAN Jingti2, 3, LIU Jusheng2, 3
1. Postdoctoral Research Station, Shenwan Hongyuan Securities Co. Ltd., Shanghai 200031, China; 2. School of information management and engineering, Shanghai University of Finance and Economics, Shanghai 200433,China; 3. Shanghai Financial Intelligent Engineering Technology Research Center,Shanghai 200433,China
Abstract：In order to explore the systemic risk of China's commercial banks, this paper considers the impact of positive and negative market news on the bank's network structure and the complexity of systemic risk in financial institutions, based on the perspective of information spillovers. Firstly, it selected the daily rate of return of listed 14 commercial banks in China. Then, the data is divided into three stages according to major financial events “money shortage” and “stock disaster”. Secondly, it used the complex network method to construct the shock network and the volatility overflow network based on the BEKK-GARCH model, and it explored the wave spillover effect and linkage effect of the bank's wave network by analyzing the network's indicators. Finally, it selected the volatility overflow network as an example, and used the target network and the random immune strategy to do a robustness test . The research result shows that: 1) at different stages, bank volatility spillover networks have different network structures, and the impact of risks can make banks more closely; 2)when the risk spillover network in a high-risk zone system, the network agglomeration coefficient is increasing, and the average path of the network is shortening significantly, this feature indicates that banks in the spillover network will be closely linked to resist risks; 3)the impact of target immunity on network stability is much greater than that of random immunity.
毛昌梅, 韩景倜, 刘举胜. 基于复杂网络的银行波动溢出效应研究[J]. 复杂系统与复杂性科学, 2020, 17(2): 11-21.
MAO Changmei, HAN Jingti, LIU Jusheng. Volatility Spillover Effect of Chinese Listed Commercial Banks-Based on Complex Network. Complex Systems and Complexity Science, 2020, 17(2): 11-21.
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