A Study of the Inter-industry Risk Spillover Effect in China’s Stock Market

Abstract

We examine the inter-industry risk spillovers in China’s stock market, exploring the impact of the recently implemented registration system reform. We find (1) the inter-industry spillovers intensify during financial crises; (2) the spillover effect is sector-specific, with the midstream and downstream sectors primarily exporting risks, whereas the upstream and supporting sectors mainly accepting risks; (3) the registration system reform has profound impact on the risk spillovers. Specifically, it reduces the risk spillovers among non-financial industries, but amplifies the finance sector’s risk spillovers. Overall, we provide new insights into the risk transmission dynamic in China’s stock market.