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Sectoral Contributions to Systemic Risk in the Chinese Stock Market

Abstract This paper investigates the question of how much each sector contributes to systemic risk in the Chinese stock market. Based on two recently developed approaches, namely, Marginal Expected Shortfall (MES) and Component Expected Shortfall (CES), the empirical results demonstrate that weights of sectors matter. Moreover, Financials, Industrials and Energy sectors are found to be the top risk contributors, though their contributions tend to evolve over time. The results have strong implications to both investors and regulators for risk management and regulatory purposes.