How to effectively prevent and mitigate systemic risks in the context of exponential growth in sustainable development investments is a crucial question. Our research examines the influence of ESG performance on bank systemic risk. By analyzing 36 listed banks in China, we found higher ESG...

This paper innovatively proposes stock return direction forecasting method by using good and bad information spillover networks. First of all, we construct static and dynamic multilayer networks based on CHOLO log return decomposition and Elastic-Net-VAR models, and analyze differences and...

The spillover effects between financial sectors and real economy in different risk levels are of concern for investors and regulatory authorities. Firstly, based on the sector returns of China, the VaRs at different quantiles are estimated by the MVMQ-CAViaR model. Then, we construct the linear...