报告题目: Does stock marketevaluate systemic risk based on network characteristics
For systemic risk, the impact of stock network’s characteristics remains imperfectly understood at best, even if the view that network structure is closely related to systemic risk has become a broad consensus. Taking the S&P 500 constituents as a sample, this paper aims to develop a general framework to effectively evaluate systemic risk from the perspective of complex network.Firstly, we constructed directed weighted networks by the Engle-Granger test. Then, we employ clustering coefficient (CL), and centrality indicators such ascloseness centrality (CC), Betweeness centrality (BC), Hub, Authority (Aut) and weighted LeaderRank (WLR) to describe the topological properties of stock market’s comovement structure. Furthermore, with the help ofinstrumental variable panel regression, the impact of central indicators on systemic risk is investigated in detail from the perspectives of crisis and industry. Empirical results show that: (i)In terms of overall effect, these central indicators are significantly related to systemic risk. Specifically, a stock with higher central index scores usually confronts greater systemic risk, which further confirms the view of “too central to fail”. Yet clustering coefficient (CL) is significantly negatively correlated with the systemic risk. (ii) During normal periods, CC, BC, Hub and WLR (CL) are significantly negatively (positively) correlated with the systemic risk of individual stocks, while during crisis, CC, BC, Aut and WLR (CL) are significantly positively (negatively) correlated with the systemic risk of individual stocks. (iii)According to the Global Industry Classification Standard, we reveal that different network indicators have different effects on the systemic risk of different industries.
杨鑫（1988.4-），男，湖南桃源人，中南大学商学院管理科学与工程博士，香港中文大学商学院金融学博士后。长沙理工大学太阳集团tcy8722讲师。主要研究方向为复杂网络、金融风险管理、资产定价。主持国家自然科学基金青年项目1项、省部级项目3项。目前，在《International Review of Financial Analysis》、《International Journal of Finance & Economics》、《中国管理科学》等国内外杂志上发表论文20余篇。长期担任《International Review of Economics and Finance》、《International Journal of Finance and Economics》等期刊匿名审稿人。