Journal of Northeastern University Natural Science ›› 2019, Vol. 40 ›› Issue (4): 596-601.DOI: 10.12068/j.issn.1005-3026.2019.04.027

• Management Science • Previous Articles     Next Articles

Dynamic Volatility Spillover Network of Chinese Financial Institutions

HUANG Wei-qiang1, LI Fang1, YAO Shuang2   

  1. 1. School of Business Administration, Northeastern University, Shenyang 110169, China; 2. School of Economics and Management, Shenyang University of Chemical Technology, Shenyang 110142, China.
  • Received:2018-01-30 Revised:2018-01-30 Online:2019-04-15 Published:2019-04-26
  • Contact: HUANG Wei-qiang
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Abstract: A dynamic volatility spillover network of financial institutions was constructed on the basis of the VAR-GARCH-BEKK model, whose associated topology indicators were analyzed, and the dynamic correlation laws of volatility spillover between financial industries were investigated. The results showed that the volatility spillover levels are more stable in the bank industry than those in other industries. During most of the periods, the banks and security companies form independent correlated communities. From the perspective of receiving volatility spillover, the security industry has the strongest average systemic correlation, and the trust industry has the strongest average inter-industry correlation. From the perspective of sending volatility spillover, the insurance industry has the strongest average inter-industry correlation, and the average systemic correlations are not significantly different among different industries. From the perspective of network embeddedness, the trust industry has the strongest average systemic correlation and inter-industry average correlation, whose embeddedness is the greatest.

Key words: volatility spillover network, correlation analysis, financial institution, financial industry, network topology structure

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