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Entropy
Volume 22
Issue 5
10.3390/e22050588
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Article

Systemic Importance of China’s Financial Institutions: A Jump Volatility Spillover Network Review

by
Xin Yang
1,2,
Xian Zhao
1,2,
Xu Gong
3,
Xiaoguang Yang
4 and
Chuangxia Huang
1,2,*
1
School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410114, China
2
Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Changsha 410114, China
3
School of Management, China Institute for Studies in Energy Policy, Xiamen University, Xiamen 361005, China
4
Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
*
Author to whom correspondence should be addressed.
Entropy 2020, 22(5), 588; https://doi.org/10.3390/e22050588
Submission received: 18 April 2020 / Revised: 18 May 2020 / Accepted: 19 May 2020 / Published: 24 May 2020
(This article belongs to the Special Issue Complexity in Economic and Social Systems)
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Abstract

The investigation of the systemic importance of financial institutions (SIFIs) has become a hot topic in the field of financial risk management. By making full use of 5-min high-frequency data, and with the help of the method of entropy weight technique for order preference by similarities to ideal solution (TOPSIS), this paper builds jump volatility spillover network of China’s financial institutions to measure the SIFIs. We find that: (i) state-owned depositories and large insurers display SIFIs according to the score of entropy weight TOPSIS; (ii) total connectedness of financial institution networks reveal that Industrial Bank, Ping An Bank and Pacific Securities play an important role when financial market is under pressure, especially during the subprime crisis, the European sovereign debt crisis and China’s stock market disaster; (iii) an interesting finding shows that some small financial institutions are also SIFIs during the financial crisis and cannot be ignored.
Keywords: financial institution; complex network; jump volatility; entropy weight TOPSIS financial institution; complex network; jump volatility; entropy weight TOPSIS

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MDPI and ACS Style

Yang, X.; Zhao, X.; Gong, X.; Yang, X.; Huang, C. Systemic Importance of China’s Financial Institutions: A Jump Volatility Spillover Network Review. Entropy 2020, 22, 588. https://doi.org/10.3390/e22050588

AMA Style

Yang X, Zhao X, Gong X, Yang X, Huang C. Systemic Importance of China’s Financial Institutions: A Jump Volatility Spillover Network Review. Entropy. 2020; 22(5):588. https://doi.org/10.3390/e22050588

Chicago/Turabian Style

Yang, Xin, Xian Zhao, Xu Gong, Xiaoguang Yang, and Chuangxia Huang. 2020. "Systemic Importance of China’s Financial Institutions: A Jump Volatility Spillover Network Review" Entropy 22, no. 5: 588. https://doi.org/10.3390/e22050588

APA Style

Yang, X., Zhao, X., Gong, X., Yang, X., & Huang, C. (2020). Systemic Importance of China’s Financial Institutions: A Jump Volatility Spillover Network Review. Entropy, 22(5), 588. https://doi.org/10.3390/e22050588

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