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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

550

Číslo periodika v rámci svazku

15 July 2020

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

124035

Kód UT WoS článku

000528310200037

EID výsledku v databázi Scopus

2-s2.0-85077733119