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

He, Miao1; Guo, Yanhong2

2022-05-01

10.3390/su14095292

SUSTAINABILITY   影响因子和分区

2071-1050

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.

systemic risk the stock market crash systemic risk beta

SCI ; SSCI

英语

通讯

Science & Technology - Other Topics ; Environmental Sciences & Ecology

Green & Sustainable Science & Technology ; Environmental Sciences ; Environmental Studies

WOS:000794790800001

MDPI

Web of Science

1.Renmin Univ China, Sch Stat, Beijing 100872, Peoples R China
2.Southern Univ Sci & Technol, Business Sch, Dept Finance, Shenzhen 518055, Peoples R China

He, Miao,Guo, Yanhong. Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China[J]. SUSTAINABILITY,2022,14(9).

He, Miao,&Guo, Yanhong.(2022).Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China.SUSTAINABILITY,14(9).

He, Miao,et al."Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China".SUSTAINABILITY 14.9(2022).