Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms; however, most existing research focuses on the first moment of the return distribution, which falls into the conventional models of choice under risk. Previous literature has observed ...
From the standpoint of salience theory, we must ask how financial institutions are interconnected. On the one hand, investors’ mental accounting exerts a significant impact on their trading decisions and asset prices (Barberis and Huang2001). On the other hand, following Barberis et al. (2016),...