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Articles by Xian Sun
Total Records ( 2 ) for Xian Sun
  Dilip K. Patro , Min Qi and Xian Sun
  We examine the relevance and effectiveness of stock return correlations among financial institutions as an indicator of systemic risk. By analyzing the trends and fluctuations of daily stock return correlations and default correlations among the 22 largest bank holding companies and investment banks from 1988 to 2008, we find that daily stock return correlation is a simple, robust, forward-looking, and timely systemic risk indicator. There is an increasing trend in stock return correlation among banks, whereas there is no obvious correlation trend among non-banks. We also disaggregate the stock returns into systematic and idiosyncratic components and find that the correlation increases are largely driven by the increases in correlations between banks‘ idiosyncratic risks, which give rise to increasing systemic risk. Correlation spikes tend to predict or coincide with significant economic or market events, especially during the 2007–2008 financial crisis. Furthermore, we show that stock return correlations offer a perspective on the level of systemic risk in the financial sector that is not already captured by default correlations. Stock return correlations are not subject to data limitations or model specification errors that other potential systemic risk measures may face. Therefore, we recommend that regulators and businesses monitor daily stock return correlations among those large and highly leveraged financial institutions to track the level of systemic risk.
  Xian Sun and Zhen-Shan Lin
  A novel multi-timescale analysis method, Empirical Mode Decomposition (EMD), is used to diagnose the variation of the annual mean temperature data of the global, China from 1881 to 2002. The results show that it contains four timescales quasi-periodic oscillations, 3 year and 6 year on interannual scales, interdecadal scales involving 20 year and 60 year and a trend, respectively. And the contributions of CO2 concentration to global temperature change is embodied by the trend signal, its influencing weight is not more than 40.19%, smaller than that of the rest four timescales climate natural variability in IMF1, IMF2, IMF3 and IMF4 (3, 6, 20 and 60 year, respectively). Though the increasing trend in atmospheric CO2 concentration, the modes of IMF2, IMF3 and IMF4 of global temperature are all in falling. Hence if maintains CO2 concentration constant at present, well then the radiation forcing of greenhouse warming is deficient to countercheck the natural change in global climate cooling in the future 20 years. In quasi 60 year timescales, abrupt temperature changes of China precede global temperature change, which provides a denotation for global climate change.
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