Abstract
The paper conducts an empirical analysis using the CoVaR model and data sourced from weekly individual stock returns of listed Chinese commercial banks to examine the impact of individual commercial banks on the entire financial system. Overall, the stock price risk of Chinese commercial banks exhibits a negative spillover effect on the financial market. Based on dCoVaR values from 2006 to 2023 and in conjunction with financial events related to the market over the 17-year period, it is evident that significant events lead to notable negative spillover effects by commercial banks stock price risk on the entire financial system, highlighting their crucial influence on financial market risk.
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