بررسی تاثیر ویژگی‌های ساختار شبکه سیستم بانکی بر ریسک سیستمی بانک‌های پذیرفته‌شده در بورس اوراق بهادار تهران- با استفاده از روش همبستگی شرطی پویا

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه مدیریت مالی و بیمه، دانشگاه تهران، تهران، ایران

2 استاد، گروه مدیریت مالی و بیمه، دانشگاه تهران، تهران، ایران.

3 دکتری مدیریت مالی، گروه مدیریت مالی و بیمه، دانشگاه تهران، تهران، ایران

چکیده

در این پژوهش اثر ویژگی‌های توپولوژی ساختار شبکه بانک‌های پذیرفته شده در بورس اوراق بهادار تهران بر ریسک سیستمیک آن‌ها با استفاده از بازده روزانه سهام بانک‌ها در سال‌های 1400-1392 بررسی شده است. ابتدا به اندازه‌گیری و تجزیه شاخص ریسک سیستمیک با استفاده از نظریه ارزش فرین پرداخته شده و سپس این شاخص به دو بعد ریسک دنباله و پیوند سیستمیک تجزیه شده است. سپس شبکه بین بانک‌های پذیرفته شده در صنعت بانکی بورس اوراق بهادار تهران بر اساس همبستگی‌های شرطی پویا (DCC) با استفاده از روش درخت مینیمم پوشا (MST) ایجاد و ویژگی‌های توپولوژی ساختار این شبکه اندازه‌گیری شد. در نهایت با استفاده از رگرسآیون داده‌های تابلویی رابطه بین ریسک سیستمیک بانک‌ها و اجزای آن با ویژگی‌های ساختار توپولوژی شبکه بانک‌ها بررسی گردید. بر اساس نتایج پژوهش بانک‌های پست‌بانک، تجارت و صادرات به ترتیب دارای بیشترین و بانک‌های کارآفرین و اقتصاد‌نوین دارای کمترین مقدار ریسک سیستمیک می‌باشد. نتایج رگرسیون نشان داد که بین متغیرهای قدرت گره، مرکزیت بینابینی گره و اندازه بانک‌ها با ریسک سیستمیک آن‌ها رابطه مثبت و معنادار و بین متغیرهای درجه گره و نقدینگی بانک‌ها با ریسک سیستمیک آن‌ها رابطه منفی و معنادار وجود دارد.

کلیدواژه‌ها

عنوان مقاله [English]

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

نویسندگان [English]

  • Ali Namaki 1
  • Reza Raei 2
  • Hossein Askari Rad 3
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.
چکیده [English]

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.

کلیدواژه‌ها [English]

  • Systemic Risk
  • Extreme Value Theory
  • Complex Network
  • Dynamic Conditional Correlation
  • Banks Listed in Tehran Stock Exchange

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چشم انداز مدیریت مالی
دوره 13، شماره 41
1402
صفحه 9-36

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