Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review

The investigation of the systemic importance of financial institutions (SIFIs) has become a hot topic in the field of financial risk management. By making full use of 5-min high-frequency data, and with the help of the method of entropy weight technique for order preference by similarities to ideal solution (TOPSIS), this paper builds jump volatility spillover network of China's financial institutions to measure the SIFIs. We find that: (i) state-owned depositories and large insurers display SIFIs according to the score of entropy weight TOPSIS; (ii) total connectedness of financial institution networks reveal that Industrial Bank, Ping An Bank and Pacific Securities play an important role when financial market is under pressure, especially during the subprime crisis, the European sovereign debt crisis and China's stock market disaster; (iii) an interesting finding shows that some small financial institutions are also SIFIs during the financial crisis and cannot be ignored.