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The performance of industry risk spillover under extreme events: Evidence from the Chinese stock market

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  • Yao, Haixiang
  • Jiang, Xiaoqing

Abstract

This study examines the characteristics of industry-level risk contagion networks within the Chinese stock market. The research findings indicate that the risk contagion behaviors of most industries exhibit a high degree of consistency under various types of extreme risk events. The upward and downward tail contagion networks constructed based on the ΔCoES indicator reveal that the financial and real estate sectors exhibit the most pronounced performance in the upward tail network. Employing “good” volatility, “bad” volatility, and the Diebold-Yilmaz variance decomposition method, we find that extreme risk events that hit the stock market lead to a significant increase in “good” volatility spillovers between industries. Industry characteristics dictate their roles within contagion networks, categorizing them as risk emitters (industrials, materials, consumer discretionary), risk receivers (financials, energy), systemic risk amplifiers (information technology, communication services), and sectors with low sensitivity to risk (consumer staples, healthcare, utilities). Notably, the healthcare and utilities sectors significantly influence the contagion network during specific periods.

Suggested Citation

  • Yao, Haixiang & Jiang, Xiaoqing, 2025. "The performance of industry risk spillover under extreme events: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    • Handle: RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000563
    DOI: 10.1016/j.pacfin.2025.102719
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