create a website

Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Jing, Zhongbo ; Feng, Yuyao ; Li, Jingyu.
In: Economic Modelling.
RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 72

References cited by this document

Cocites: 28

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Making differences work: Financial fraud detection based on multi-subject perceptions. (2024). Feng, Yuyao ; Wang, Shuai ; Li, Guowen.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000293.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abdelaziz, F.B. ; Chibane, M. Portfolio optimization in the presence of tail correlation. 2023 Econ. Modell.. 122 -

  2. Abduraimova, K. Contagion and tail risk in complex financial networks. 2022 J. Bank. Finance. 143 -

  3. Abraham, S. ; Shrives, P.J. Improving the relevance of risk factor disclosure in corporate annual reports. 2014 Br. Account. Rev.. 46 91-107

  4. Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Labys, P. Modeling and forecasting realized volatility. 2003 Econometrica. 71 579-625

  5. Ang, A. ; Bekaert, G. International asset allocation with regime shifts. 2002 Rev. Financ. Stud.. 15 1137-1187

  6. Ang, A. ; Chen, J. Asymmetric correlations of equity portfolios. 2002 J. Financ. Econ.. 63 443-494

  7. Asgharian, H. ; Nossman, M. Risk contagion among international stock markets. 2011 J. Int. Money Finance. 30 22-38

  8. Atilgan, Y. ; Bali, T.G. ; Demirtas, K.O. ; Gunaydin, A.D. Left-tail momentum: underreaction to bad news, costly arbitrage and equity returns. 2020 J. Financ. Econ.. 135 725-753

  9. Bai, J. ; Bali, T.G. ; Wen, Q. Common risk factors in the cross-section of corporate bond returns. 2019 J. Financ. Econ.. 131 619-642

  10. Balla, E. ; Ergen, I. ; Migueis, M. Tail dependence and indicators of systemic risk for large US depositories. 2014 J. Financ. Stabil.. 15 195-209

  11. Bao, Y. ; Datta, A. Simultaneously discovering and quantifying risk types from textual risk disclosures. 2014 Manag. Sci.. 60 1371-1391

  12. Baruník, J. ; Křehlík, T. Measuring the frequency dynamics of financial connectedness and systemic risk. 2018 J. Financ. Econom.. 16 271-296

  13. Beatty, A. ; Cheng, L. ; Zhang, H. Are risk factor disclosures still relevant? Evidence from market reactions to risk factor disclosures before and after the financial crisis. 2019 Contemp. Account. Res.. 36 805-838

  14. Bekaert, G. ; Hodrick, R.J. ; Zhang, X. International stock return comovements. 2009 J. Finance. 64 2591-2626

  15. Bekaert, G. ; Hoerova, M. The VIX, the variance premium and stock market volatility. 2014 J. Econom.. 183 181-192

  16. Billio, M. ; Getmansky, M. ; Lo, A.W. ; Pelizzon, L. Econometric measures of connectedness and systemic risk in the finance and insurance sectors. 2012 J. Financ. Econ.. 104 535-559

  17. Blei, D.M. ; Ng, A.Y. ; Jordan, M.I. Latent dirichlet allocation. 2003 J. Mach. Learn. Res.. 3 993-1022
    Paper not yet in RePEc: Add citation now
  18. Box, T. Qualitative similarity and stock price comovement. 2018 J. Bank. Finance. 91 49-69

  19. Campbell, J.L. ; Chen, H. ; Dhaliwal, D.S. ; Lu, H.M. ; Steele, L.B. The information content of mandatory risk factor disclosures in corporate filings. 2014 Rev. Account. Stud.. 19 396-455
    Paper not yet in RePEc: Add citation now
  20. Chang, J. ; Gerrish, S. ; Wang, C. ; Boyd-Graber, J.L. ; Blei, D.M. Reading tea leaves: how humans interpret topic models. 2009 Adv. Neural Inf. Process. Syst.. 288-296
    Paper not yet in RePEc: Add citation now
  21. De Bruyckere, V. ; Gerhardt, M. ; Schepens, G. ; Vander Vennet, R. Bank/sovereign risk spillovers in the European debt crisis. 2013 J. Bank. Finance. 37 4793-4809

  22. Deev, O. ; Lyócsa, Š. ; Výrost, T. The looming crisis in the Chinese stock market? Left-tail exposure analysis of Chinese stocks to Evergrande. 2022 Finance Res. Lett.. 49 -

  23. Dungey, M. ; Luciani, M. ; Matei, M. ; Veredas, D. Which market integration measure?. 2020 J. Financ. Econom.. 18 655-677
    Paper not yet in RePEc: Add citation now
  24. Dyer, T. ; Lang, M. ; Stice-Lawrence, L. The evolution of 10-K textual disclosure: evidence from latent dirichlet allocation. 2017 J. Account. Econ.. 64 221-245

  25. Fang, L. ; Huang, Z. ; Jiang, G. ; Tu, J. Interconnectedness, systemic risk, and financial stability: evidence from China's interbank market. 2021 J. Bank. Finance. 125 -
    Paper not yet in RePEc: Add citation now
  26. Gao, G.P. ; Lu, X. ; Song, Z. Tail risk concerns everywhere. 2019 Manag. Sci.. 65 3111-3130

  27. Gârleanu, N. ; Pedersen, L.H. Market liquidity and banking liquidity. 2020 J. Financ. Econ.. 137 517-535
    Paper not yet in RePEc: Add citation now
  28. Glosten, L.R. ; Milgrom, P.R. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. 1985 J. Financ. Econ.. 14 71-100

  29. Grimmer, J. ; Stewart, B.M. Text as data: the promise and pitfalls of automatic content analysis methods for political texts. 2013 Polit. Anal.. 21 267-297

  30. Hao, J. ; Li, J. ; Wu, D. Bibliometric analysis of risk science from 1996 to 2021: insights and implications. 2023 J. Risk Res.. 26 485-501

  31. Hirshleifer, D. ; Teoh, S.H. The psychological attraction approach to accounting and disclosure policy. 2009 Contemp. Account. Res.. 26 1067-1090

  32. Huang, K.W. ; Li, Z. A multilabel text classification algorithm for labeling risk factors in SEC form 10-K. 2011 ACM Transactions on Management Information Systems (TMIS). 2 1-19
    Paper not yet in RePEc: Add citation now
  33. Irvine, P.J. ; Pontiff, J. Idiosyncratic return volatility, cash flows, and product market competition. 2009 Rev. Financ. Stud.. 22 1149-1177

  34. Kenourgios, D. ; Samitas, A. ; Paltalidis, N. Financial crises and stock market contagion in a multivariate time-varying asymmetric framework. 2011 J. Int. Financ. Mark. Inst. Money. 21 92-106

  35. Komorník, J. ; Komorníková, M. ; Kalická, J. Dependence measures for perturbations of copulas. 2017 Fuzzy Set Syst.. 324 100-116
    Paper not yet in RePEc: Add citation now
  36. Li, J. ; Cheng, L. ; Zheng, X. ; Wang, F.-Y. Analyzing the stock volatility spillovers in Chinese financial and economic sectors. 2023 IEEE Transactions on Computational Social Systems. 10 269-284
    Paper not yet in RePEc: Add citation now
  37. Li, J. ; Feng, Y. ; Li, G. ; Sun, X. Tourism companies' risk exposures on text disclosure. 2020 Ann. Tourism Res.. 84 -

  38. Li, J. ; Li, G. ; Liu, M. ; Zhu, X. ; Wei, L. A novel text-based framework for forecasting agricultural futures using massive online news headlines. 2022 Int. J. Forecast.. 38 35-50

  39. Li, J. ; Li, G. ; Zhu, X. ; Yao, Y. Identifying the influential factors of commodity futures prices through a new text mining approach. 2020 Quant. Finance. 20 1967-1981

  40. Li, J. ; Li, J. ; Zhu, X. Risk dependence between energy corporations: a text-based measurement approach. 2020 Int. Rev. Econ. Finance. 68 33-46

  41. Li, J. ; Yao, Y. ; Li, J. ; Zhu, X. Network-based estimation of systematic and idiosyncratic contagion: the case of Chinese financial institutions. 2019 Emerg. Mark. Rev.. 40 -

  42. McNeil, A.J. ; Frey, R. ; Embrechts, P. Quantitative Risk Management: Concepts, Techniques and Tools-Revised Edition. 2015 Princeton University Press:

  43. Merton, R.C. A simple model of capital market equilibrium with incomplete information. 1987 J. Finance. 42 483-510

  44. Okimoto, T. Asymmetric increasing trends in dependence in international equity markets. 2014 J. Bank. Finance. 46 219-232

  45. Patton, A.J. A review of copula models for economic time series. 2012 J. Multivariate Anal.. 110 4-18

  46. Patton, A.J. ; Sheppard, K. Testing for volatility co-movement in the presence of sudden changes. 2019 J. Bus. Econ. Stat.. 37 384-395
    Paper not yet in RePEc: Add citation now
  47. Peek, J. ; Rosengren, E.S. The international transmission of financial shocks: The case of Japan. 1997 The American Economic Review. 495-505

  48. Pindyck, R.S. ; Rotemberg, J.J. The comovement of stock prices. 1993 Q. J. Econ.. 108 1073-1104

  49. Poon, S.H. ; Rockinger, M. ; Tawn, J. Extreme value dependence in financial markets: diagnostics, models, and financial implications. 2004 Rev. Financ. Stud.. 17 581-610

  50. Scherer, C.W. ; Cho, H. A social network contagion theory of risk perception. 2003 Risk Anal.: Int. J.. 23 261-267

  51. Schmeling, M. ; Schrimpf, A. ; Wang, X. The diminishing diversification benefits of equity sectors. 2020 J. Financ. Econ.. 136 223-251
    Paper not yet in RePEc: Add citation now
  52. Schmidt, R. ; Stadtmüller, U. Non‐parametric estimation of tail dependence. 2006 Scand. J. Stat.. 33 307-335
    Paper not yet in RePEc: Add citation now
  53. Semeyutin, A. ; O'Neill, R. A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. 2019 N. Am. J. Econ. Finance. 50 -
    Paper not yet in RePEc: Add citation now
  54. Seo, H. Peer effects in corporate disclosure decisions. 2021 J. Account. Econ.. 71 -
    Paper not yet in RePEc: Add citation now
  55. Sklar, M. . 1959 :
    Paper not yet in RePEc: Add citation now
  56. Slovic, P. ; Fischhoff, B. ; Lichtenstein, S. Why study risk perception?. 1982 Risk Anal.: Int. J.. 2 83-93

  57. Suijs, J. ; Wielhouwer, J.L. Disclosure policy choices under regulatory threat. 2019 Rand J. Econ.. 50 3-28

  58. Sukcharoen, K. ; Zohrabyan, T. ; Leatham, D. ; Wu, X. Interdependence of oil prices and stock market indices: a copula approach. 2014 Energy Econ.. 44 331-339

  59. Wang, G.J. ; Xie, C. Tail dependence structure of the foreign exchange market: a network view. 2016 Expert Syst. Appl.. 46 164-179
    Paper not yet in RePEc: Add citation now
  60. Wang, Y.C. ; Wu, J.L. ; Lai, Y.H. A revisit to the dependence structure between the stock and foreign exchange markets: a dependence-switching copula approach. 2013 J. Bank. Finance. 37 1706-1719

  61. Wang, Z. ; Gao, X. ; Huang, S. ; Sun, Q. ; Chen, Z. ; Tang, R. ; Di, Z. Measuring systemic risk contribution of global stock markets: a dynamic tail risk network approach. 2022 Int. Rev. Financ. Anal.. -

  62. Wei, L. ; Li, G. ; Li, J. ; Zhu, X. Bank risk aggregation with forward-looking textual risk disclosures. 2019 N. Am. J. Econ. Finance. 50 -

  63. Wei, L. ; Li, G. ; Zhu, X. ; Sun, X. ; Li, J. Developing a hierarchical system for energy corporate risk factors based on textual risk disclosures. 2019 Energy Econ.. 80 452-460

  64. Weiß, G.N. ; Neumann, S. ; Bostandzic, D. Systemic risk and bank consolidation: international evidence. 2014 J. Bank. Finance. 40 165-181

  65. Wilson, R.S. ; Zwickle, A. ; Walpole, H. Developing a broadly applicable measure of risk perception. 2019 Risk Anal.: Int. J.. 39 777-791

  66. Xie, Q. ; Cheng, L. ; Li, J. ; Zheng, X. The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk. 2023 J. Risk. 25 1-28
    Paper not yet in RePEc: Add citation now
  67. Yang, Z. ; Zhou, Y. Quantitative easing and volatility spillovers across countries and asset classes. 2017 Manag. Sci.. 63 333-354

  68. Zhang, B. ; Li, X.M. Has there been any change in the comovement between the Chinese and US stock markets?. 2014 Int. Rev. Econ. Finance. 29 525-536

  69. Zhang, Y.J. ; Wei, Y.M. Dynamic conditional correlations between oil and stock markets: new evidence from rolling and recursive rolling approaches. 2019 Energy Econ.. 78 379-388
    Paper not yet in RePEc: Add citation now
  70. Zhou, W. ; Chen, Y. ; Chen, J. Risk spread in multiple energy markets: extreme volatility spillover network analysis before and during the COVID-19 pandemic. 2022 Energy. 256 -

  71. Zhu, H. ; Zhou, M. ; Alkins, R. Group role assignment via a Kuhn–Munkres algorithm-based solution. 2011 IEEE Trans. Syst. Man Cybern. Syst. Hum.. 42 739-750
    Paper not yet in RePEc: Add citation now
  72. Zhu, X. ; Wang, Y. ; Li, J. . 2022 Humanities and Social Sciences Communications:
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Unraveling the role of data sharing in open finance diffusion: an evolutionary game approach on complex networks. (2025). Chen, Dongqing ; Li, Lijie ; Zhang, Liwei ; Ma, Chaoqun.
    In: Future Business Journal.
    RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00522-w.

    Full description at Econpapers || Download paper

  2. Does a non-performing assets disposal fund help control systemic risk? Evidence from an interbank financial network in China. (2025). Song, Lei ; Chen, YU.
    In: Financial Innovation.
    RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00667-7.

    Full description at Econpapers || Download paper

  3. Long short-term memory autoencoder based network of financial indices. (2025). Lee, Jaewoo ; Rakib, Mahmudul Hasan ; Nobi, Ashadun ; Tuhin, Kamrul Hasan.
    In: Palgrave Communications.
    RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04412-y.

    Full description at Econpapers || Download paper

  4. Identifying Higher-Order Moment Risk Contagion Between the US Dollar Exchange Rate and China’s Major Asset Classes. (2025). Zou, Zongfeng ; Zhang, Chao ; Li, Judong.
    In: Mathematics.
    RePEc:gam:jmathe:v:13:y:2025:i:5:p:707-:d:1597031.

    Full description at Econpapers || Download paper

  5. Research on sovereign credit and international banking industry tail risk contagion ----Perspective from double-layer complex network. (2025). Xiao-Li, Gong ; Zhuo-Cheng, WU ; Xiong, Xiong ; Wei, Zhang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001558.

    Full description at Econpapers || Download paper

  6. Investing in relative market positions in interconnected financial markets: A strategy for international portfolio diversification. (2025). Chen, Yiqing ; Yao, Shujie ; Ou, Jinghua.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003408.

    Full description at Econpapers || Download paper

  7. Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

    Full description at Econpapers || Download paper

  8. Unveiling the interconnectedness of banks in payment system: methodology, utilization, and data governance considerations. (2025). Bimantoro, Renardi Ardiya ; Sampe, Irfan ; Hidayat, Mohammad Khoyrul.
    In: IFC Bulletins chapters.
    RePEc:bis:bisifc:64-13.

    Full description at Econpapers || Download paper

  9. A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming.
    In: Papers.
    RePEc:arx:papers:2211.14997.

    Full description at Econpapers || Download paper

  10. Multi-verse metaheuristic and deep learning approach for portfolio selection with higher moments. (2024). , Nupur ; Sahay, Rishi Rajan ; Jain, Veena.
    In: International Journal of System Assurance Engineering and Management.
    RePEc:spr:ijsaem:v:15:y:2024:i:5:d:10.1007_s13198-023-02218-2.

    Full description at Econpapers || Download paper

  11. Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors. (2024). Vo, Duc Hong ; Nguyen, Hung Le-Phuc.
    In: Financial Innovation.
    RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00602-2.

    Full description at Econpapers || Download paper

  12. Can corporate social performance mitigate the risk of extreme stock returns?. (2024). Chibane, Messaoud ; ben Abdelaziz, Fouad ; Kuhanathan, Ano.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001236.

    Full description at Econpapers || Download paper

  13. Financial risk contagion based on dynamic multi-layer network between banks and firms. (2024). Hu, Zhao-Long ; Chen, Yanyu ; Jin, Qichao ; Sun, Lei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:638:y:2024:i:c:s0378437124001328.

    Full description at Econpapers || Download paper

  14. Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

    Full description at Econpapers || Download paper

  15. Correlation meets causality: A holistic measure of financial contagion. (2024). Atasoy, Burak ; Ozkan, Brahim.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005336.

    Full description at Econpapers || Download paper

  16. Global uncertainties and Australian financial markets: Quantile time-frequency connectedness. (2024). Sheikh, Umaid A ; Hammoudeh, Shawkat ; Asadi, Mehrad ; Roubaud, David.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000309.

    Full description at Econpapers || Download paper

  17. The correlated trading and investment performance of individual investors. (2024). Zhao, Jing ; Lin, Tse-Chun ; Kuo, Wei-Yu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000574.

    Full description at Econpapers || Download paper

  18. Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion. (2024). Gao, Yang ; Zhao, Wandi.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000050.

    Full description at Econpapers || Download paper

  19. Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis. (2024). Zhang, YI ; Zhou, Long ; Liu, Fang ; Wu, Baoxiu.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000895.

    Full description at Econpapers || Download paper

  20. Contagion mechanism of liquidity risk in the interbank network. (2024). Chen, Naixi ; Fan, Hong ; Pang, Congyuan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:140:y:2024:i:c:s026499932400230x.

    Full description at Econpapers || Download paper

  21. COVID‐19 and tail risk contagion across commodity futures markets. (2023). Qiao, Tongshuai ; Han, Liyan.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:2:p:242-272.

    Full description at Econpapers || Download paper

  22. Systemic Risk with Multi-Channel Risk Contagion in the Interbank Market. (2023). Li, Yutong ; Jiang, Shanshan ; Dong, Ruiting ; Xia, Min ; Wang, Jie.
    In: Sustainability.
    RePEc:gam:jsusta:v:15:y:2023:i:3:p:2727-:d:1055743.

    Full description at Econpapers || Download paper

  23. Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets. (2023). Hapau, Razvan Gabriel ; Vacaru, Oana Mihaela ; Gruiescu, Mihaela ; Manta, Eduard Mihai ; Davidescu, Adriana Anamaria.
    In: Mathematics.
    RePEc:gam:jmathe:v:11:y:2023:i:3:p:666-:d:1049896.

    Full description at Econpapers || Download paper

  24. How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis. (2023). Xie, Xuemei ; Li, Chunmei ; Zhang, Beibei.
    In: Mathematics.
    RePEc:gam:jmathe:v:11:y:2023:i:10:p:2267-:d:1145533.

    Full description at Econpapers || Download paper

  25. Immunization of systemic risk in trade–investment networks. (2023). Li, Shouwei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437122009980.

    Full description at Econpapers || Download paper

  26. The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

    Full description at Econpapers || Download paper

  27. European bank credit risk transmission during the credit Suisse collapse. (2023). NEKHILI, Ramzi ; Foglia, Matteo ; Bouri, Elie.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008243.

    Full description at Econpapers || Download paper

  28. Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Jing, Zhongbo ; Feng, Yuyao ; Li, Jingyu.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 20:44:36 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.