Investigating the effect of Banks Network Topology on Banks Systemic Risk in Tehran Stock Exchange – By Using DCC Approach

Document Type : Original Article

Authors

1 Assistant Prof, Department of Financial Management and Insurance, University of Tehran, Tehran, Iran.

2 Prof, Department of Financial Management and Insurance, University of Tehran, Tehran, Iran.

3 Ph.D. in Financial Management, University of Tehran, Tehran, Iran.

Abstract

In this paper, the effect of banks network topology on banks systemic risk in Tehran Stock Exchange have been investigated by using banks daily stock return from 2013 to 2021. First, systemic risk index have been measured and decomposed by using EVT approach and then this index divided into two dimensions, bank tail risk and systemic linkage. Then the network between banks listed in the banking industry of Tehran Stock Exchange have been created based on dynamic conditional correlations (DCC) by using the spanning minimum tree (MST) approach and the banks network topology have been measured. Finally, the relationship between banks systemic risk and its dimensions with banks network topology have been investigated by using regression of panel data. According to the results, Post-Bank, Tejarat and Saderat banks have the highest and Karafarin and Eghtesad-Novin banks have the lowest systemic risk, respectively. Also, the regression results showed that there is a positive and significant relationship between the variables of node strength, betweenness centrality and size with the banks systemic risk and a negative and significant relationship between the variables of node degree and liquidity with banks systemic risk.

Keywords

References

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Financial Management Perspective
Volume 13, Issue 41
2023
Pages 9-36

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