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Characteristics and dynamic evolution of inter-industry volatility spillovers in China’s stock market

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  • Fusheng Xie
  • Hongjie Wei

Abstract

This study examines the volatility connectedness across 28 sectors in the Chinese stock market, aiming to discern the risk spillovers and their implications for financial security and economic stability. Employing a network connectedness approach, we analyze the volatility connectedness’s characteristics and dynamic evolution among various sectors. The findings indicate that manufacturing industries exhibit a high degree of correlation among themselves and predominantly function as exporters of risk spillovers. Conversely, the financial industry emerges as a primary recipient, characterized by a relatively low correlation to other sectors. During the COVID-19 epidemic, risk correlation within China’s stock market sectors experienced an increase, which, however, did not persist as the epidemic progressed. Furthermore, the conflict between Russia and Ukraine exerted a limited contagion effect on China’s stock market risks. These insights offer valuable guidance for China in managing economic and financial risks more effectively.

Suggested Citation

  • Fusheng Xie & Hongjie Wei, 2025. "Characteristics and dynamic evolution of inter-industry volatility spillovers in China’s stock market," PLOS ONE, Public Library of Science, vol. 20(9), pages 1-24, September.
    • Handle: RePEc:plo:pone00:0330599
    DOI: 10.1371/journal.pone.0330599
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    References listed on IDEAS

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    1. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
    2. Fu Qiao & Yan Yan, 2020. "How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of China's stock market during the outbreak of COVID-19," Papers 2007.07487, arXiv.org.
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