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

Fusheng Xie and Hongjie Wei

PLOS ONE, 2025, vol. 20, issue 9, 1-24

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.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0330599

DOI: 10.1371/journal.pone.0330599

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