Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions

Biyu Qian, Gang-Jin Wang, Yusen Feng and Chi Xie

The North American Journal of Economics and Finance, 2022, vol. 60, issue C

Abstract: We propose partial cross-quantilogram networks for measuring the connectedness of 30 China’s financial institutions at different quantiles. We find that networks at the extreme quantiles are more closely connected than those at the median quantile. The network density and centrality show that the systemically important financial institutions vary across different quantiles. We observe an asymmetric effect in quantile connectedness during the period of “2015–16 Chinese stock market turbulence;” that is, the network connectedness at the lower quantile (i.e., 0.05 quantile) is higher than that at the upper and median quantiles (i.e., 0.95 and 0.50 quantiles). By analyzing the similarity of networks across quantiles, we find that the similarity index is relatively high in the crisis period. Our study provides useful information on connectedness of financial institutions for regulators and investors.

Keywords: Partial cross-quantilogram; Quantile network; Financial institution; Connectedness; China (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000055

DOI: 10.1016/j.najef.2022.101645

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