文献类型：期刊文献

英文题名：Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?

作者：Wang, Gang-Jin[1,2];Xie, Chi[1,2];Zhao, Longfeng[3,4,5];Jiang, Zhi-Qiang[6,7]

机构：[1]Hunan Univ, Business Sch, Changsha 410082, Hunan, Peoples R China;[2]Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China;[3]Xian Polytech Univ, Sch Management, Xian 710048, Shaanxi, Peoples R China;[4]Hua Zhong Cent China Normal Univ, Complex Sci Ctr, Wuhan 430079, Hubei, Peoples R China;[5]Hua Zhong Cent China Normal Univ, Inst Particle Phys, Wuhan 430079, Hubei, Peoples R China;[6]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[7]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2018

卷号：57

起止页码：205

外文期刊名：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

收录：;WOS:【SSCI(收录号:WOS:000452323900012)】；

基金：We are grateful to Prof. Jonathan A. Batten (the editor-in-chief), Prof. Meryem Duygun (the subject editor), and an anonymous referee for insightful comments and useful suggestions. This work was supported by the National Natural Science Foundation of China (Grant nos. 71501066, 71373072, and 71521061), the Hunan Provincial Natural Science Foundation of China (Grant no. 2017JJ3024), and the China Scholarship Council (Grant nos. 201506135022 and 201606770023). The work of ZQJ was supported by the Shanghai Philosophy and Social Science Fund Project (Grant no. 2017BJB006).

语种：英文

外文关键词：Volatility spillovers; Connectedness; Commercial banks; Chinese banking system; Financial regulation; Financial network

摘要：Using the volatility spillover network of Diebold and Yilmaz (2014), we investigate volatility connectedness in the Chinese banking system based on daily range-based volatility series of 14 publicly-traded commercial banks from 2008 to 2016. Both static and dynamic total connectedness show that the 14 commercial banks are highly interconnected. Total directional connectedness (including from-connectedness, to-connectedness and net-connectedness) shows that state-owned commercial banks contribute less to volatility connectedness than joint-stock and city commercial banks, and that city commercial banks are the largest (net-) emitters of volatility connectedness. Statically, we find a positive (negative) rank correlation between size and from-connectedness (to-connectedness and net-connectedness) of banks. Dynamically, however, the positive rank correlation loses its statistical significance and the negative rank correlation disappears completely during the recent global financial crisis and "the 2015-2016 Chinese stock market turbulence." Our findings suggest (i) that a bank might be "too big to fail," but not necessarily "too interconnected to fail" and vice versa, and (ii) that these two cases may coexist conditional on the system being in distress. (C) 2018 Elsevier B.V. All rights reserved.