Assessing systemic importance using multilayer dynamic networks: Evidence from China's stock market

Yue Zhang, Haozhi Chen and Xiaolei He

International Review of Economics & Finance, 2025, vol. 103, issue C

Abstract: This study develops a multilayer dynamic network framework to evaluate the systemic importance of 348 firms listed in China's A-share market over the period 2010–2021. By employing the maximum mutual information coefficient (MIC), the model captures both linear and nonlinear interdependencies, integrating firm-specific tail risk indicators and trading-based metrics. Topological analysis of the network, including connectivity, clustering, and centrality measures, reveals structural drivers of systemic risk propagation. The results show that firms with high centrality and interconnectedness disproportionately amplify systemic vulnerabilities, underscoring their critical roles in financial stability. The multilayer dynamic framework significantly enhances the precision of systemic risk assessment compared to traditional single-layer models. This study contributes to systemic risk literature by extending advanced network methodologies to emerging markets and offers actionable insights for policymakers and regulators to design effective risk mitigation strategies.

Keywords: Systemically important corporations; Multilayer financial network; Topological theory; Systemic risk (search for similar items in EconPapers)
JEL-codes: G18 G30 G32 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025004423

DOI: 10.1016/j.iref.2025.104279

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