Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach

Zhi Su and Fuwei Xu

Journal of Multinational Financial Management, 2021, vol. 60, issue C

Abstract: A better understanding of financial contagion and systemically important financial markets will help market participants capture market information and assist regulators in preventing financial crises. We propose a ripple network based collective spillover effect approach to model the spread of financial contagion and analyze the systemic importance of financial markets. The crude oil market is taken as the source of financial contagion, and we analyze the path of the spread of contagion and systemic importance of 22 international financial markets. The empirical results show that financial contagion arising from the oil market spreads first to developed markets and then to developing markets. Thus, developed markets show the highest systemic importance, followed by developing markets, in the ripple-spreading process of financial contagion. Moreover, in terms of regions, the European and American markets have higher risk influence, but Asian markets have higher risk pressure.

Keywords: Financial contagion; Complex networks; Ripple-spreading networks; Systemically important financial markets (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000050

DOI: 10.1016/j.mulfin.2021.100681

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