Connectedness of financial institutions in Europe: A network approach across quantiles

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F20%3A00115596" target="_blank" >RIV/00216224:14560/20:00115596 - isvavai.cz</a>

Result on the web

<a href="https://www.sciencedirect.com/science/article/pii/S0378437119322320" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437119322320</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2019.124035" target="_blank" >10.1016/j.physa.2019.124035</a>

Result language

angličtina

Original language name

Connectedness of financial institutions in Europe: A network approach across quantiles

Original language description

We create cross-quantilogram networks capturing the dependence between stock market returns of 205 financial institutions in Europe and across a large range of quantiles. Based on network density, centrality and centralization, we find that financial institutions in Europe are strongly interconnected across all quantiles, particularly during tranquil periods. These results suggest that financial institutions in Europe are susceptible to spillover, contagion and increased systemic risk. We also find an asymmetric effect: connectedness during crisis periods is higher than that during bullish periods. The most interconnected financial institutions are found to be insurance companies in Switzerland. Relying on an exponential random graph modeling (ERGM) approach, we find that across all quantiles, the connectedness is larger between (i) financial institutions in the same country, (ii) insurance companies, and (iii) financial institutions that operate in countries that adopted the common currency.

Czech name

—

Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50206 - Finance

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Volume of the periodical

550

Issue of the periodical within the volume

15 July 2020

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

124035

UT code for WoS article

000528310200037

EID of the result in the Scopus database

2-s2.0-85077733119