تحلیل شبکه همبستگی و خوشه‌بندی ریسک بازار در صنعت بانکداری ایران: رویکرد درخت پوشای کمینه و گراف وابستگی

نوع مقاله : مقاله پژوهشی

نویسنده

گروه اقتصاد، دانشگاه پیام نور، تهران، ایران.

چکیده
هدف: این پژوهش با هدف تحلیل ساختار وابستگی متقابل و خوشه‌بندی ریسک بازار در صنعت بانکداری ایران انجام شده است. هدف شناسایی کانون‌های اتصال، پل‌های ارتباطی و گروه‌های رفتاری بانک‌ها، بررسی پویایی زمانی هم‌حرکتی آن‌ها و ارایه راهکارهای عملیاتی برای مدیریت ریسک شبکه‌ای و پایش ثبات مالی است.
روش‌شناسی پژوهش: بازده هفتگی سهام ۹ بانک طی دوره ۱۳۹۴ تا ۱۴۰۵ (۵۹۳ هفته) محاسبه و پس از پالایش صدکی، ماتریس همبستگی پیرسون برآورد شد. سپس با تبدیل همبستگی به فاصله، درخت پوشای کمینه و شبکه همبستگی آستانه‌دار (۰٫۲۵) ساخته و شاخص‌های مرکزیت محاسبه گردید. خوشه‌بندی سلسله‌مراتبی وارد برای گروه‌بندی بانک‌ها و همبستگی غلتان ۵۲ هفته‌ای برای رصد پویایی زمانی به کار رفت.
یافته‎ها: همبستگی‌ها مثبت اما ناهمگن‌اند؛ بالاترین ضریب میان صادرات و تجارت (۰٫۷۷۳) و کمترین همبستگی‌ها مربوط به بانک شهر است. در درخت پوشای کمینه، صادرات با بینابینی ۲۳ دروازه‌بان اصلی و تجارت کانون دوم شبکه‌اند. در شبکه قوی، تجارت (قدرت ۳٫۹۵) و صادرات (۳٫۸۸) بیشترین شدت اتصال را دارند. خوشه‌بندی سه گروه را شناسایی کرد: هسته‌ای شش‌تایی، لایه‌ای میانی (اقتصاد نوین و پست بانک) و پیرامونی منفرد (شهر). همبستگی غلتان در دوره کووید-۱۹ (میانگین 438/0) و تنش‌های منطقه‌ای (میانگین 430/0) نسبت به میانگین کل دوره (367/0) افزایش یافت که نشان‌دهنده تشدید هم‌حرکتی و تضعیف موقت اثر تنوع‌بخشی در بحران است.
اصالت/ارزش افزوده علمی: این مطالعه با ترکیب هم‌زمان چند ابزار شبکه‌ای بر بازده هفتگی بلندمدت و پوشش شوک‌های اخیر، تصویری چندلایه از ساختار اتصال بانکی ایران ارایه می‌کند و میان الگوی رفتاری و شدت اتصال تفکیک قایل می‌شود؛ رویکردی که در مطالعات پیشین کمتر دیده شده و مکمل پژوهش‌های مبتنی بر داده بین‌بانکی است

کلیدواژه‌ها

موضوعات

عنوان مقاله English

Correlation network analysis and market risk clustering in iran’s banking industry: A minimum spanning tree and dependency graph approach

نویسنده English

Mohsen Hajian
Department of Economics, Payame Noor University (PNU), Tehran, Iran.
چکیده English

Purpose: This study analyzes the structure of mutual dependence and market risk clustering in Iran's banking industry. Specifically, it identifies connectivity hubs, bridging institutions, and behavioral groups of banks, examines the time-varying co-movement of their returns, and provides actionable recommendations for network-based risk management and financial stability monitoring.
Methodology: Weekly log returns of nine listed banks over 2015–2026 (593 weeks) were computed and, after percentile winsorization, a Pearson correlation matrix was estimated. The matrix was converted into a distance metric to build a minimum spanning tree and a threshold correlation network (0.25), yielding centrality measures. Ward's hierarchical clustering grouped the banks, and 52-week rolling correlations tracked temporal dynamics.
Findings: Correlations are positive yet heterogeneous; the highest coefficient links Saderat and Tejarat (0.773), while the lowest involve Shahr. In the minimum spanning tree, Saderat (betweenness 23) is the primary gatekeeper and Tejarat the secondary hub. In the strong network, Tejarat (strength 3.95) and Saderat (3.88) hold the greatest connection intensity. Clustering yields three groups: a six-bank core, a middle layer (Eghtesad Novin and Post Bank), and a single peripheral bank (Shahr). Rolling correlations rose during COVID-19 (mean 0.438) and the regional tensions (mean 0.430) relative to the overall mean (0.367), indicating intensified co-movement and temporary weakening of diversification during crises.
Originality/Value: By jointly applying network tools to long-horizon weekly returns and covering recent shocks, the study offers a multi-layered map of Iranian banking connectedness and distinguishes behavioral patterns from connection intensity—an approach rarely adopted in prior studies and complementary to interbank-data research.

کلیدواژه‌ها English

Stock returns
Financial stability
Financial contagion
Centrality measures
Systemically important institutions
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