Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167809
Authors: 
Dastkhan, Hossein
Gharneh, Naser Shams
Year of Publication: 
2016
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 1-17
Abstract: 
Systemic risk events constitute an important issue in current financial systems. A leading course of action used to mitigate such events is identification of systemically important agents in order to implement the prudential policies in a financial system. In this paper, a bi-level cross-shareholding network of the stock market is considered according to direct and integrated ownership structure. Furthermore, different systemic risk indices are applied to identify systemically important companies in an early warning system. Results of application of these indices on cross-shareholding data from Tehran Stock Exchange show that integrated network indices produce more reliable results. Moreover, results of statistical analysis of the networks indicated the existence of scale-free characteristics in the TSE cross-shareholding network.
Subjects: 
finance
network theory
systemic risk
cross-shareholding
centrality measures
JEL: 
C6
E44
G10
G18
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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