Analysis of Iran Banking Sector by Multi-Layer Approach

Abstract

Networks are useful tools for presenting the relationships between financial institutions. During the previous years, many scholars have found that using single-layer networks cannot properly characterize and explain complex systems. The purpose of this research is to introduce a multiplex network in order to analyze, as accurately as possible, all aspects of communication between banks in capital market of Iran. In this article, each bank represents a node and three layers of return, trading volume and market Cap have been presented for analyzing the idea of multiplex networks. We have used the Granger causality method to determine the direction between nodes. For understanding the topology structure of these layers, different concepts have been used. The research findings show that the value layer topology has a significant similarity with the trading volume layer. Also according to the measure of centrality it can be seen that the centrality varies in different layers.

Keywords

• banking sector
• centrality
• complex system
• granger causality
• multiplex network