Economics at your fingertips  

Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions

Gang-Jin Wang, Yang-Yang Chen, Hui-Bin Si, Chi Xie and Julien Chevallier

International Review of Economics & Finance, 2021, vol. 73, issue C, 325-347

Abstract: We propose multilayer information spillover networks, including return spillover layer, volatility spillover layer, and extreme risk spillover layer in the variance decomposition framework for comprehensively investigating the information spillovers and connectedness among 30 Chinese financial institutions (i.e., banks, securities, and insurers) during the period 2011–2018. We analyze the topological characteristics of static and dynamic multilayer networks at the system and institution levels. We find that (i) at a system level, each layer exhibits a unique network structure and spillover evolution behavior, and multilayer information spillover networks provide synthetic information on the connectedness among financial institutions, and (ii) at an individual level, institutions from different financial sectors play different roles in receiving or sending shocks based on different information spillover or contagion channels. Our findings supply valuable knowledge for investors when they assess risk and optimize asset allocation, and for regulators when they measure connectedness and prevent system risk.

Keywords: Multilayer networks; Information spillover; Connectedness; Financial institutions (search for similar items in EconPapers)
JEL-codes: C32 G20 G28 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.iref.2021.01.005

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2023-09-17
Handle: RePEc:eee:reveco:v:73:y:2021:i:c:p:325-347