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[1] Jiang Qiao, Liu Xiaoxing, Ma Qianting, et al. A multilayer network model of the bankingsystem and its evolution [J]. Journal of Southeast University (English Edition), 2023, 39 (3): 233-239. [doi:10.3969/j.issn.1003-7985.2023.03.003]
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A multilayer network model of the bankingsystem and its evolution()
银行系统多层网络模型及其演化
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Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]

Volumn:
39
Issue:
2023 3
Page:
233-239
Research Field:
Economy and Management
Publishing date:
2023-09-20

Info

Title:
A multilayer network model of the bankingsystem and its evolution
银行系统多层网络模型及其演化
Author(s):
Jiang Qiao1;  Liu Xiaoxing1;  2;  Ma Qianting2;  3
1 School of Cyber Science and Engineering, Southeast University, Nanjing 211189, China
2 School of Economics and Management, Southeast University, Nanjing 211189, China
3 College of Finance, Nanjing Agricultural University, Nanjing 210095, China
姜乔1;  刘晓星1;  2;  马钱挺2;  3
1 东南大学网络空间安全学院, 南京 211189; 2 东南大学经济管理学院, 南京 211189; 3 南京农业大学金融学院, 南京 210095
Keywords:
multilayer network model;  banking system;  network evolutionary characteristics;  small-world characteristics;  dependency structure
多层网络模型;  银行系统;  网络演化特征;  小世界特征;  相依结构
PACS:
F830
DOI:
10.3969/j.issn.1003-7985.2023.03.003
Abstract:
A multilayer network model of the banking system is constructed based on the Pearson, Spearman, and Kendall correlations among stock returns. The three correlations correspond to the multilayer network’s Pearson, Spearman, and Kendall layers. This paper empirically analyzes the evolutionary characteristics of the multilayer network structure of the banking system from 2011 to 2020, using data from China’s listed banks. The following are the principal findings based on empirical research. Firstly, the large state-owned banks are more active within the banking system. Secondly, the interlayer correlation of the multilayer banking network exhibits volatility, with the Spearman and Kendall layers showing a higher correlation than the Pearson layer. Thirdly, the constructed bank multilayer network exhibits small-world characteristics. Fourthly, all bank nodes influence each layer of the banking multilayer network. The present research reveals the dependency structure between various correlations of bank yield fluctuations, which has a specific theoretical reference value for maintaining the banking system’s smooth operation.
基于股票收益率间 Pearson 相关性、Spearman相关性和Kendall相关性, 构建了银行系统多层网络模型, 其中3种相关性分别对应于多层网络中Pearson层、Spearman层和Kendall层.根据2011—2020年期间中国上市银行数据, 实证分析了银行系统多层网络结构的演化特征.结果表明:大型国有银行在整个银行系统中表现出更高的活跃度;银行间多层网络的层间度相关性呈现一定的波动性, 其中Spearman层和Kendall层的相关性更高;构建的银行多层网络表现出明显的小世界特征;所有的银行节点在多层网络中的每一层中都发挥作用.研究结论揭示了银行收益率波动不同关联性之间的相依结构, 对于维护银行系统稳定具有一定的理论参考价值.

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Memo

Memo:
Biographies: Qiao Jiang(1972—), male, Ph. D. candidate; Ma Qianting(corresponding author), male, doctor, mqt2626@njau.edu.cn.
Foundation items: The National Natural Science Foundation of China(No. 72173018), the 71st General Program of China Postdoctoral Science Foundation(No. 2022M711649).
Citation: Jiang Qiao, Liu Xiaoxing, Ma Qianting. A multilayer network model of the banking system and its evolution[J].Journal of Southeast University(English Edition), 2023, 39(3):233-239.DOI:10.3969/j.issn.1003-7985.2023.03.003.
Last Update: 2023-09-20