Who leads in China's interbank market? Information networks and quote spillovers in SHIBOR

This paper investigates quote spillovers and information transmission among Shanghai Interbank Offered Rate (SHIBOR) panel banks across different maturities. We find strong synchronization in short-term quote submissions, with increasing heterogeneity and asymmetry at longer tenors. Large state-owned banks consistently act as dominant transmitters of market signals, while joint-stock and city commercial banks tend to be followers. Despite being foreign-owned, HSBC often acts as a key transmitter, highlighting the importance of global reach and cross-border liquidity. Empirical analysis shows that economic policy uncertainty, systemic risk exposure, and China's central bank open market operations are key drivers of spillover dynamics. The results provide new insights into the structural behavior of China's interbank market and the stability of its interest rate benchmark system. • First study to empirically classify SHIBOR panel banks as leaders or followers. • Large state-owned banks consistently act as dominant quote transmitters. • HSBC China emerges as a key leader, reflecting cross-border liquidity influence. • Quote spillovers increase with economic policy uncertainty and systemic risk.