150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank … location, not bank assets. Dynamically, we find that global banking connectedness displays both secular and cyclical variation …

This paper adopts the tail-event driven network (TENET) framework to explore the connectedness and systemic risk of the … conduct the connectedness analysis from four levels (i.e., system, region, country and institution) and identify the systemic … risk contribution of banks. We find that the dynamic total connectedness reached its peak during the outbreak of the …

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN …) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from …