Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China

Miao He and Yanhong Guo
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Miao He: School of Statistics, Renmin University of China, Beijing 100872, China
Yanhong Guo: Department of Finance, Business School, Southern University of Science and Technology, Shenzhen 518055, China

Sustainability, 2022, vol. 14, issue 9, 1-14

Abstract: This paper investigates the systemic risk contributions of each financial institution during the stock market crash in China using systemic risk beta. Based on the FARM-Selection (Factor Adjusted Regularized Model Selection) approach, we calculate the systemic risk beta, implying the importance of each financial institution during the stock market crash. We find that security firms are the main contributors to systemic risk. In addition, some macro variables have a significant influence on systemic risk, including changes in March Treasury rates and the AAA-rated bond and 10-year Treasury credit spreads. This paper provides an important perspective to identify the SIFIs (Systemically Important Financial Institutions) during the stock market crash.

Keywords: systemic risk; the stock market crash; systemic risk beta (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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