Research on Structure of Time-varying Risk Spillover and its Impact on Stock Market

doi:10.12005/orms.2026.0058

Abstract

Abstract: In October 2023, General Secretary Xi Jinping stressed at the Central Financial Work Conference that the financial sector was a lifeblood of a nation’s economy and crucial component of a country’s core competitiveness. Cross-industry risk contagion refers to the process of spreading and diffusing risks among different industries, and it has become an important factor affecting China’s financial stability. At present, the deep mosaic of the industrial chain, mixed operation of enterprises and investment diversification have intensified the interdependence of industries, and the risks of industries are easily transmitted through multiple channels in time of crisis, forming systemic risks.
This paper responds positively to the initiative of preventing cross-industry risks and analyzes the time-varying risk spillover among Chinese stock industries and its affecting factors from a structural perspective. In this paper, by applying the complex network method and the time-varying weighted directed network method, we construct the total volatility spillover index and directional volatility spillover index between the financial industry and real economy industry to reflect the volatility spillover mechanism between industries. This paper deeply analyzes the characteristics of the cross-industry network structure, and uses unsupervised learning methods to classify industries with similar characteristics and reveal the similarities and differences of industry segments. Then, this paper innovatively extends the risk topology network framework to realize the effective screening of risk spillover structure and its similarity in different periods. Finally, this paper combines multiple regression measures and machine learning methods to analyze the impact of the operating conditions of China’s real economy on the risk linkages among Chinese stock industries, which provides an important perspective and tool for building a robust financial market environment.
It is found that the cross-industry risk linkage effect is significantly enhanced under large risk event shocks, and the structural change in the spillover effects of each industry is particularly drastic under the impact of the COVID-19 epidemic. In terms of the structural characteristics of cross-industry spillovers, the industrials and consumer discretionary industries form a closely linked core and are the main net exporters of risk. In addition, the consumer staples, health care and information technology industries, as well as the energy, real estate and financial industries, share similar risk characteristics and spillover capabilities. Maintaining economic growth, expanding domestic demand, and stabilizing production are important ways to effectively reducing risk linkages across industries. These measures can enhance the resilience of the economic system and reduce the sensitivity of external shocks to cross-industry risk transmission.
This paper suggests that structured regulation should be highly emphasized in preventing and controlling financial risks across industries. At the same time, the momentum of financial stabilization measures should be fully stimulated, especially the growth of production capacity and the level of economic activity in industrials. Product price stability should be promoted through price monitoring, market regulation and policy guidance; and the stability of consumption growth should be promoted by raising income levels, strengthening consumer rights protection and improving market information disclosure, thereby enhancing the stability of the financial system and reducing the risk linkage effect among industries.

Key words: stock market, risk spillover structure, influencing factor, complex network

摘要： 跨行业的风险传染已经成为影响中国金融稳定的重要因素,从结构性的角度分析中国股票行业间的时变风险溢出及其影响因素,对于完善金融风险防范的结构设计、提升风险防控的全局性具有重要意义。对此,在构建股票行业间的风险溢出网络基础上研究不同时期的溢出结构和风险板块的差异性,并多维度分析驱动行业间风险联动的因素。结果表明:行业间风险联动效应随着风险事件冲击而显著增强,新冠疫情冲击对各行业溢出效应的结构性改变尤为强烈,医疗保健行业受风险影响显著。溢出结构特征显示,工业和可选消费行业是联系紧密的核心风险净输出者,日常消费、医疗保健与信息技术行业,能源、房地产与金融行业具有相似的特征和溢出能力。保持促增长、增内需、稳生产是降低行业间风险联动的重要途径。本文建议跨行业的金融风险防控要重视结构化监管,激发金融稳定性措施动能,降低行业风险联动。

关键词: 股票市场, 风险溢出结构, 影响因素, 复杂网络

CLC Number:

F832.5

QIU Longmiao, ZHOU Donghai, LIU Xiaoxing. Research on Structure of Time-varying Risk Spillover and its Impact on Stock Market[J]. Operations Research and Management Science, 2026, 35(2): 172-178.

邱龙淼, 周东海, 刘晓星. 股票市场时变风险溢出结构及其影响研究[J]. 运筹与管理, 2026, 35(2): 172-178.

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