Determination of Systemically Important Companies with Cross-Shareholding Network Analysis: A Case Study from an Emerging Market

Hossein Dastkhan and Naser Shams Gharneh
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Hossein Dastkhan: Department of Industrial Engineering and Management Systems, AmirKabir University of Technology, Hafez St., Tehran 15916-34311, Iran
Naser Shams Gharneh: Department of Industrial Engineering and Management Systems, AmirKabir University of Technology, Hafez St., Tehran 15916-34311, Iran

IJFS, 2016, vol. 4, issue 3, 1-17

Abstract: Systemic risk events constitute an important issue in current financial systems. A leading course of action used to mitigate such events is identification of systemically important agents in order to implement the prudential policies in a financial system. In this paper, a bi-level cross-shareholding network of the stock market is considered according to direct and integrated ownership structure. Furthermore, different systemic risk indices are applied to identify systemically important companies in an early warning system. Results of application of these indices on cross-shareholding data from Tehran Stock Exchange show that integrated network indices produce more reliable results. Moreover, results of statistical analysis of the networks indicated the existence of scale-free characteristics in the TSE cross-shareholding network.

Keywords: finance; network theory; systemic risk; cross-shareholding; centrality measures (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (13)

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