While initial results have been achieved in preventing and resolving major financial risks, network relevance remains an important part of systemic risk. The intricate structure of relevance among financial institutions makes risk easily contagious within the system, with the impact and scope of negative shock significantly increased. Network relevance is directly reflected in the linkage mechanism of stock price fluctuation between and among various institutions and industries. From the perspective of stock market volatility spillover effect, this article adopts the random forest model to construct a network of 59 listed financial institutions in China from January 2011 to April 2021. It's found that industry differences and stratification exist in the network, with the banking industry as the most important core layer, the security industry playing the role of the intermediary layer, and the multi-service industry being the outermost layer. The banking industry is the Granger causality for the fluctuation of the security industry and the multi-service industry, while the volatility of the security industry and the multiservice industry are Granger causality for each other, and the network connection is stronger during the period of stock market turbulence. Combined with micro-level indicators, it is found that the relationship between asset-liability ratio and institutional volatility spillover is not significant, but high asset-liability ratio makes institution vulnerable to external spillover, while state holdings can curb institutional volatility spillovers. The research conclusions suggest that more flexible and dynamic differentiated supervision should be implemented according to the status of various institutions and industries in the associated network, and the risk supervision framework suitable for China's financial system should be actively explored.
Key words
Network Structure /
Spillover Effect /
Listed Financial Institutions /
Stock Market
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Footnotes
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