The cross-sector risk contagion among Chinese financial institutions: Evidence from the extreme volatility spillover perspective

This paper investigates the cross-sector risk contagion among Chinese financial institutions using the quantile connectedness approach, and analyzes the impact of macroeconomic factors on risk spillover effects at different quantiles. The empirical results show that the volatility spillovers in the tail quantiles are higher than those in the median quantile, suggesting that financial risk propagate more intensely during extreme events relative to normal conditions. Furthermore, we demonstrate that macroeconomic factors have a significant impact on volatility spillovers among financial institutions. Our findings provide valuable insights for regulators to effectively manage and mitigate the risk contagion within the Chinese financial system.