Two-Way Risk Spillover of Financial and Real Sectors in the Presence of Major Public Emergencies

In order to study the two-way risk spillovers between financial and real industries under major public emergencies in Chinese market from 2007 2020, sample period of was determined based on value at (VaR) time series, it found that impact would lead rise systemic risks industry. Secondly, sectors are taken as main research object measure spillover by using DCC-GARCH, shows industry with significantly vulnerability overall is estate industry, material energy The results subdividing show banking sector has most significant contribution sectors. At same time, identify systemically important high namely, utilities, consumer discretionary industrials. Among sub-industries, securities significant. Finally, system importance characteristics entity depend nature events have certain rules.