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Int. J. Financial Stud. 2016, 4(3), 13; doi:10.3390/ijfs4030013

Determination of Systemically Important Companies with Cross-Shareholding Network Analysis: A Case Study from an Emerging Market

Department of Industrial Engineering and Management Systems, AmirKabir University of Technology, Hafez St., Tehran 15916-34311, Iran
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Author to whom correspondence should be addressed.
Academic Editor: Nicholas Apergis
Received: 11 February 2016 / Revised: 15 June 2016 / Accepted: 17 June 2016 / Published: 24 June 2016
(This article belongs to the Special Issue International Financial Markets during Economic Crisis)
View Full-Text   |   Download PDF [2778 KB, uploaded 24 June 2016]   |  

Abstract

Systemic risk events constitute an important issue in current financial systems. A leading course of action used to mitigate such events is identification of systemically important agents in order to implement the prudential policies in a financial system. In this paper, a bi-level cross-shareholding network of the stock market is considered according to direct and integrated ownership structure. Furthermore, different systemic risk indices are applied to identify systemically important companies in an early warning system. Results of application of these indices on cross-shareholding data from Tehran Stock Exchange show that integrated network indices produce more reliable results. Moreover, results of statistical analysis of the networks indicated the existence of scale-free characteristics in the TSE cross-shareholding network. View Full-Text
Keywords: finance; network theory; systemic risk; cross-shareholding; centrality measures finance; network theory; systemic risk; cross-shareholding; centrality measures
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Dastkhan, H.; Shams Gharneh, N. Determination of Systemically Important Companies with Cross-Shareholding Network Analysis: A Case Study from an Emerging Market. Int. J. Financial Stud. 2016, 4, 13.

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