Abstract
We use the daily data of 45 listed financial institutions between January 1, 2008 and January 31, 2022 to conduct a functional data analysis (FDA) to measure the systemic risk of China's financial system and construct a complex network to analyze the contagion mechanism of systemic risk within and between sectors. We find that the constructed systemic risk indexes identify the influential events in the sample period and that the securities sector has a higher systemic risk than banking and insurance sectors do. The systemic risk contagion complex networks provide evidence of significant causal relationships between different sectors. Banking sector contributes a higher systemic risk and acts as a systemic risk transmitter in normal times, whereas securities and insurance sectors are more vulnerable during extreme events and may become sources of systemic risk during such events.
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