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

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 epide

SUBMITTER: Xie F 

PROVIDER: S-EPMC12412994 | biostudies-literature | 2025

REPOSITORIES: biostudies-literature