Analyzing the systemic risk of banking industry by using EMD and GRA based on the dynamic complex network approach.
Analyzing the systemic risk of banking industry by using EMD and GRA based on the dynamic complex network approach
Subject Areas : Financial Knowledge of Securities Analysis
ali NAMAKI 1 , Hadis Khalili 2
1 - Department of financial,Faculty of management.Tehran university.Tehran.Iran.
2 - Department of financial.Faculty of management,Tehran university,Tehran,Iran.
Keywords: Systemic risk, Dynamic complex network, Empirical mode decomposition, Grey relational analysis, Banks listed in capital market,
Abstract :
Nowadays, the complexity and entanglement of financial markets are under the influence of various variables and problems which classical financial sciences are generally unable to solve. This has motivated new approaches in financial sciences like dynamic complex networks. The current research has used the dynamic complex network approach, empirical mode decomposition, and grey relational analysis to investigate the systemic risk of Iran's capital market banks from the beginning of 2015 to the march 2023. For this purpose, first, by building a sliding window, it has calculated the correlation coefficient of stock and then the index of the complex network. Using the results of empirical mode decomposition and grey relational analysis through Engel-Granger causality statistical test,, showed a close and long-term relationship between stock market fluctuations and systemic risk. Any momentum is of a higher speed and intensity of propagation due to the bank-oriented nature of the country's economy.
