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Network Structure and Stability of Financial Systems: An Analysis of Bipartite Network

Title
Network Structure and Stability of Financial Systems: An Analysis of Bipartite Network
Author
정현종
Advisor(s)
강형구
Issue Date
2015-08
Publisher
한양대학교
Degree
Doctor
Abstract
To understand the relationship between network structure and stability of financial systems, we develop a simplified model in a bipartite bank-asset network and suggest implications for regulators. Major findings are as follows: First, risk contagion follows the path along the individual bank's connection degree in bank-asset network. Shocks are transmitted from banks with lower connection degree to banks with higher connection degree through common asset channels. Second, banks with a lower degree play a role as critical shock transmitter. These banks are weak links of risk spillover during a financial crisis, especially, in sparsely connected network. In an empirical test of our model, the model efficiently identifies defaults of the banks in the 2008 crisis. Also, we find a positive relationship between a bank's connection degree and time to default of bank.|Low volatility effect or low volatility anomaly has been well documented in recent empirical studies. Stocks with recent high volatility have shown low future average returns across the world. These findings were not only economically but also statistically meaningful. This paper tries to find more insight on the low volatility effect focusing on the relationship between low volatility effect and volatility level of equity market. Major findings in this paper are as follows: Low volatility effect exists in the Korean stock market. However, low volatility effect is not significant when volatility level of the stock market is low. The low volatility effect exists only in period of above average market volatility and disappears in times of below average market volatility which implies "No low volatility effect in low volatility market". In regression analysis, we construct zero-cost portfolio which takes long position in the lowest volatility portfolio and short position in the highest volatility portfolio. Volatility level of stock market has a positive relationship with returns from zero-cost portfolio and explains abnormal returns uncaptured by 3 factor model.; Low volatility effect or low volatility anomaly has been well documented in recent empirical studies. Stocks with recent high volatility have shown low future average returns across the world. These findings were not only economically but also statistically meaningful. This paper tries to find more insight on the low volatility effect focusing on the relationship between low volatility effect and volatility level of equity market. Major findings in this paper are as follows: Low volatility effect exists in the Korean stock market. However, low volatility effect is not significant when volatility level of the stock market is low. The low volatility effect exists only in period of above average market volatility and disappears in times of below average market volatility which implies "No low volatility effect in low volatility market". In regression analysis, we construct zero-cost portfolio which takes long position in the lowest volatility portfolio and short position in the highest volatility portfolio. Volatility level of stock market has a positive relationship with returns from zero-cost portfolio and explains abnormal returns uncaptured by 3 factor model.
URI
https://repository.hanyang.ac.kr/handle/20.500.11754/127830http://hanyang.dcollection.net/common/orgView/200000427054
Appears in Collections:
GRADUATE SCHOOL[S](대학원) > BUSINESS ADMINISTRATION(경영학과) > Theses (Ph.D.)
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