{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T01:58:55Z","timestamp":1760147935049,"version":"build-2065373602"},"reference-count":76,"publisher":"MDPI AG","issue":"3","license":[{"start":{"date-parts":[[2023,3,12]],"date-time":"2023-03-12T00:00:00Z","timestamp":1678579200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Post-doctoral Science Fund of China","award":["2018M643442"],"award-info":[{"award-number":["2018M643442"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Systems"],"abstract":"<jats:p>By employing two systemic risk methods, the marginal expected shortfall (MES) and the component expected shortfall (CES), this paper measures the systemic risk level of all sectors in China\u2019s financial market from 2014 to 2022; thereby, it researches the total effect of sectoral systemic risk using a panel event study model during the three main emergency crisis events. Moreover, two nonparametric methods are utilized, the Wilcoxon signed rank sum test and the bootstrap Kolmogorov\u2013Smirnov test, in order to investigate the changes in individual effects and the dominant ranks of sectoral systemic risk. The empirical results show that (1) the mean values and volatilities of CES and MES of all sectors have a higher level of magnitude in the extreme risk status than those in the normal risk status; (2) by comparing the total effects of three crisis events, we find that different from the continuous shock effect caused by two other events, sectoral systemic risk has a hysteresis effect on the entire market after the outbreak of COVID-19; (3) the long-term and short-term individual effects of sectoral systemic risk in all sectors are different from each other during three events; and (4) the dominance tests of MES are more sensitive and thus better demonstrate the changes in the rankings of sectoral systemic risk than the dominant tests of CES during the emergency crisis events.<\/jats:p>","DOI":"10.3390\/systems11030147","type":"journal-article","created":{"date-parts":[[2023,3,13]],"date-time":"2023-03-13T03:03:57Z","timestamp":1678676637000},"page":"147","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["The Intersectoral Systemic Risk Shock of Emergency Crisis Events in China\u2019s Financial Market: Nonparametric Methods and Panel Event Study Analyses"],"prefix":"10.3390","volume":"11","author":[{"given":"Ao","family":"Lei","sequence":"first","affiliation":[{"name":"School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 611731, China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8671-8029","authenticated-orcid":false,"given":"Hui","family":"Zhao","sequence":"additional","affiliation":[{"name":"School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 611731, China"}]},{"given":"Yixiang","family":"Tian","sequence":"additional","affiliation":[{"name":"School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 611731, China"}]}],"member":"1968","published-online":{"date-parts":[[2023,3,12]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"564","DOI":"10.1257\/aer.20130456","article-title":"Systemic Risk and Stability in Financial Networks","volume":"105","author":"Acemoglu","year":"2015","journal-title":"Am. Econ. Rev."},{"key":"ref_2","doi-asserted-by":"crossref","unstructured":"Huang, C.X., Deng, Y.K., Yang, X., Yang, X.G., and Cao, J.D. (2022). Can financial crisis be detected? Laplacian energy measure. Eur. J. Financ., in press.","DOI":"10.1080\/1351847X.2022.2091946"},{"key":"ref_3","doi-asserted-by":"crossref","first-page":"101591","DOI":"10.1016\/j.najef.2021.101591","article-title":"Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction","volume":"59","author":"Pan","year":"2022","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_4","doi-asserted-by":"crossref","unstructured":"Huang, C.X., Liu, S.J., Yang, X.G., and Yang, X. (2022). Identification of crisis in the Chinese stock market based on complex network. Appl. Econ. Lett., in press.","DOI":"10.1080\/13504851.2022.2099792"},{"key":"ref_5","doi-asserted-by":"crossref","first-page":"504","DOI":"10.1016\/j.iref.2016.07.011","article-title":"The meltdown of the Chinese equity market in the summer of 2015","volume":"45","author":"Liu","year":"2016","journal-title":"Int. Rev. Econ. Financ."},{"key":"ref_6","doi-asserted-by":"crossref","first-page":"190","DOI":"10.1016\/j.ememar.2018.02.003","article-title":"Systemic risk network of Chinese financial institutions","volume":"35","author":"Fang","year":"2018","journal-title":"Emerg. Mark. Rev."},{"key":"ref_7","doi-asserted-by":"crossref","unstructured":"Xu, G.X., and Gao, W.F. (2019). Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. Sustainability, 11.","DOI":"10.3390\/su11051402"},{"key":"ref_8","doi-asserted-by":"crossref","first-page":"101185","DOI":"10.1016\/j.najef.2020.101185","article-title":"Analysis of the impact of Sino-US trade friction on China\u2019s stock market based on complex networks","volume":"52","author":"Li","year":"2020","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_9","doi-asserted-by":"crossref","first-page":"104274","DOI":"10.1016\/j.jpubeco.2020.104274","article-title":"Economic uncertainty before and during the COVID-19 pandemic","volume":"191","author":"Altig","year":"2020","journal-title":"J. Public Econ."},{"key":"ref_10","doi-asserted-by":"crossref","first-page":"205","DOI":"10.1080\/1351847X.2018.1509102","article-title":"Global systemic risk measures and their forecasting power for systemic events","volume":"25","author":"Grundke","year":"2019","journal-title":"Eur. J. Financ."},{"key":"ref_11","doi-asserted-by":"crossref","first-page":"138","DOI":"10.1016\/j.jfs.2015.01.003","article-title":"Calculating systemic risk capital: A factor model approach","volume":"16","author":"Avramidis","year":"2015","journal-title":"J. Financ. Stab."},{"key":"ref_12","doi-asserted-by":"crossref","first-page":"101528","DOI":"10.1016\/j.frl.2020.101528","article-title":"Financial markets under the global pandemic of COVID-19","volume":"36","author":"Zhang","year":"2020","journal-title":"Financ. Res. Lett."},{"key":"ref_13","doi-asserted-by":"crossref","first-page":"101649","DOI":"10.1016\/j.irfa.2020.101649","article-title":"Tail risk contagion between international financial markets during COVID-19 pandemic","volume":"73","author":"Guo","year":"2021","journal-title":"Int. Rev. Financ. Anal."},{"key":"ref_14","doi-asserted-by":"crossref","first-page":"102005","DOI":"10.1016\/j.irfa.2021.102005","article-title":"COVID-19 pandemic and spillover effects in stock markets: A financial network approach","volume":"80","author":"Samitas","year":"2022","journal-title":"Int. Rev. Financ. Anal."},{"key":"ref_15","doi-asserted-by":"crossref","first-page":"1600","DOI":"10.1080\/13504851.2020.1839629","article-title":"Systemic risk of China\u2019s commercial banks during financial turmoils in 2010\u20132020: A MIDAS-QR based CoVaR approach","volume":"28","author":"Liu","year":"2021","journal-title":"Appl. Econ. Lett."},{"key":"ref_16","doi-asserted-by":"crossref","first-page":"102179","DOI":"10.1016\/j.irfa.2022.102179","article-title":"Systemic risk in the Chinese financial system: A panel Granger causality analysis","volume":"82","author":"Cincinelli","year":"2022","journal-title":"Int. Rev. Financ. Anal."},{"key":"ref_17","doi-asserted-by":"crossref","first-page":"101864","DOI":"10.1016\/j.frl.2020.101864","article-title":"Impacts of the COVID-19 pandemic on financial market connectedness","volume":"38","author":"So","year":"2021","journal-title":"Financ. Res. Lett."},{"key":"ref_18","doi-asserted-by":"crossref","first-page":"125613","DOI":"10.1016\/j.physa.2020.125613","article-title":"A study of systemic risk of global stock markets under COVID-19 based on complex financial networks","volume":"566","author":"Lai","year":"2021","journal-title":"Phys. A"},{"key":"ref_19","doi-asserted-by":"crossref","first-page":"101491","DOI":"10.1016\/j.ribaf.2021.101491","article-title":"Risk contagion of COVID-19 in Japanese firms: A network approach","volume":"58","author":"Kanno","year":"2021","journal-title":"Res. Int. Bus. Financ."},{"key":"ref_20","doi-asserted-by":"crossref","first-page":"101745","DOI":"10.1016\/j.najef.2022.101745","article-title":"Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China","volume":"62","author":"Dai","year":"2022","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_21","doi-asserted-by":"crossref","first-page":"101709","DOI":"10.1016\/j.ribaf.2022.101709","article-title":"Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis","volume":"62","author":"Aloui","year":"2022","journal-title":"Res. Int. Bus. Financ."},{"key":"ref_22","doi-asserted-by":"crossref","first-page":"102124","DOI":"10.1016\/j.frl.2021.102124","article-title":"Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics","volume":"45","author":"Costa","year":"2022","journal-title":"Financ. Res. Lett"},{"key":"ref_23","doi-asserted-by":"crossref","first-page":"101614","DOI":"10.1016\/j.najef.2021.101614","article-title":"Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday","volume":"59","author":"Choi","year":"2022","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_24","doi-asserted-by":"crossref","first-page":"101584","DOI":"10.1016\/j.najef.2021.101584","article-title":"Infectious diseases tracking and sectoral stock market returns: A quantile regression analysis","volume":"59","author":"Alomari","year":"2022","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_25","doi-asserted-by":"crossref","first-page":"1730","DOI":"10.1080\/13504851.2021.1961116","article-title":"A coronavirus outbreak and sector stock returns: A tale from the first ten weeks of 2020","volume":"29","author":"Nguyen","year":"2022","journal-title":"Appl. Econ. Lett."},{"key":"ref_26","doi-asserted-by":"crossref","first-page":"59","DOI":"10.1257\/aer.102.3.59","article-title":"Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks","volume":"102","author":"Acharya","year":"2012","journal-title":"Am. Econ. Rev."},{"key":"ref_27","doi-asserted-by":"crossref","first-page":"575","DOI":"10.1016\/j.jbankfin.2014.01.037","article-title":"Which are the SIFIs? A Component Expected Shortfall approach to systemic risk","volume":"50","author":"Banulescu","year":"2015","journal-title":"J. Bank Financ."},{"key":"ref_28","doi-asserted-by":"crossref","first-page":"795","DOI":"10.1080\/13504851.2020.1781767","article-title":"COVID-19: Stock market reactions to the shock and the stimulus","volume":"28","author":"Harjoto","year":"2021","journal-title":"Appl. Econ. Lett."},{"key":"ref_29","doi-asserted-by":"crossref","first-page":"2198","DOI":"10.1080\/1540496X.2020.1785865","article-title":"COVID-19\u2019s Impact on Stock Prices Across Different Sectors\u2014An Event Study Based on the Chinese Stock Market","volume":"56","author":"He","year":"2020","journal-title":"Emerg. Mark Financ. Trade"},{"key":"ref_30","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1155\/2021\/4727617","article-title":"Systemic Risk Contribution and Contagion of Industrial Sectors in China: From the Global Financial Crisis to the COVID-19 Pandemic","volume":"2021","author":"Liu","year":"2021","journal-title":"J. Math."},{"key":"ref_31","doi-asserted-by":"crossref","first-page":"3307","DOI":"10.1257\/aer.20180609","article-title":"Pre-Event Trends in the Panel Event-Study Design","volume":"109","author":"Freyaldenhoven","year":"2019","journal-title":"Am. Econ. Rev."},{"key":"ref_32","doi-asserted-by":"crossref","first-page":"127518","DOI":"10.1016\/j.physa.2022.127518","article-title":"The correlations among COVID-19, the effect of public opinion, and the systemic risks of China\u2019s financial industries","volume":"600","author":"Ouyang","year":"2022","journal-title":"Phys. A"},{"key":"ref_33","doi-asserted-by":"crossref","first-page":"254","DOI":"10.1016\/j.jeconom.2021.03.014","article-title":"Difference-in-differences with variation in treatment timing","volume":"225","year":"2021","journal-title":"J. Econ."},{"key":"ref_34","doi-asserted-by":"crossref","first-page":"101817","DOI":"10.1016\/j.najef.2022.101817","article-title":"Risk spillover analysis of China\u2019s financial sectors based on a new GARCH copula quantile regression model","volume":"63","author":"Tian","year":"2022","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_35","doi-asserted-by":"crossref","first-page":"34","DOI":"10.1080\/13683500.2021.1881050","article-title":"From pandemic to systemic risk: Contagion in the US tourism sector","volume":"25","author":"Shahzad","year":"2022","journal-title":"Curr. Issues Tour."},{"key":"ref_36","first-page":"614","article-title":"Research on the investment value of China\u2019s medical sector in the context of COVID-19","volume":"1","author":"Zou","year":"2023","journal-title":"Ekon. Istraz."},{"key":"ref_37","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1016\/j.jfs.2017.05.009","article-title":"Information contagion and systemic risk","volume":"35","author":"Ahnert","year":"2018","journal-title":"J. Financ. Stab."},{"key":"ref_38","doi-asserted-by":"crossref","first-page":"100777","DOI":"10.1016\/j.jfs.2020.100777","article-title":"Assessing the contribution of China\u2019s financial sectors to systemic risk","volume":"50","author":"Morelli","year":"2020","journal-title":"J. Financ. Stab."},{"key":"ref_39","doi-asserted-by":"crossref","first-page":"270","DOI":"10.1016\/j.jbankfin.2014.05.030","article-title":"Assessing the contribution of banks, insurance and other financial services to systemic risk","volume":"47","author":"Bernal","year":"2014","journal-title":"J. Bank Financ."},{"key":"ref_40","doi-asserted-by":"crossref","first-page":"310","DOI":"10.1057\/s41283-020-00064-1","article-title":"Measuring the contribution of Chinese financial institutions to systemic risk: An extended asymmetric CoVaR approach","volume":"22","author":"Wen","year":"2020","journal-title":"Risk Manag."},{"key":"ref_41","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1198\/073500102288618487","article-title":"Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models","volume":"20","author":"Engle","year":"2002","journal-title":"J. Bus. Econ. Stat."},{"key":"ref_42","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","article-title":"On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks","volume":"48","author":"Glosten","year":"1993","journal-title":"J. Financ."},{"key":"ref_43","first-page":"643","article-title":"Dynamic Conditional Beta","volume":"14","author":"Engle","year":"2016","journal-title":"J. Financ. Econ."},{"key":"ref_44","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1111\/j.0960-1627.2004.00184.x","article-title":"Nonparametric estimation and sensitivity analysis of expected shortfall","volume":"14","author":"Scaillet","year":"2004","journal-title":"Math. Financ."},{"key":"ref_45","doi-asserted-by":"crossref","unstructured":"Raftopoulou, A., and Giannakopoulos, N. (2022). Unemployment and health: A panel event study. Appl. Econ. Lett., in press.","DOI":"10.1080\/13504851.2022.2044993"},{"key":"ref_46","doi-asserted-by":"crossref","first-page":"853","DOI":"10.1177\/1536867X211063144","article-title":"Implementing the panel event study","volume":"21","author":"Clarke","year":"2021","journal-title":"Stat. J."},{"key":"ref_47","doi-asserted-by":"crossref","unstructured":"Hollander, M., Wolfe, D.A., and Chicken, E. (2015). Nonparametric Statistical Methods, Wiley. [3rd ed.].","DOI":"10.1002\/9781119196037"},{"key":"ref_48","doi-asserted-by":"crossref","first-page":"284","DOI":"10.1198\/016214502753479419","article-title":"Bootstrap tests for distributional treatment effects in instrumental variable models","volume":"97","author":"Abadie","year":"2002","journal-title":"J. Am. Stat. Assoc."},{"key":"ref_49","doi-asserted-by":"crossref","first-page":"963620","DOI":"10.3389\/fpubh.2022.963620","article-title":"The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk","volume":"10","author":"Tan","year":"2022","journal-title":"Front. Public Health"},{"key":"ref_50","doi-asserted-by":"crossref","first-page":"956521","DOI":"10.3389\/fpubh.2022.956521","article-title":"Does CSR performance improve corporate immunity to the COVID-19 pandemic? Evidence from China\u2019s stock market","volume":"10","author":"Tian","year":"2022","journal-title":"Front. Public Health"},{"key":"ref_51","doi-asserted-by":"crossref","first-page":"101137","DOI":"10.1016\/j.najef.2019.101137","article-title":"Industry risk transmission channels and the spillover effects of specific determinants in China\u2019s stock market: A spatial econometrics approach","volume":"52","author":"Chen","year":"2020","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_52","doi-asserted-by":"crossref","first-page":"311","DOI":"10.1016\/j.qref.2019.11.003","article-title":"Bank diversification and systemic risk","volume":"77","author":"Yang","year":"2020","journal-title":"Q Rev. Econ. Financ."},{"key":"ref_53","doi-asserted-by":"crossref","first-page":"2101","DOI":"10.1093\/rfs\/hhaa080","article-title":"Illiquidity and Stock Returns II: Cross-section and Time-series Effects","volume":"34","author":"Amihud","year":"2021","journal-title":"Rev. Financ. Stud."},{"key":"ref_54","doi-asserted-by":"crossref","first-page":"783","DOI":"10.1080\/00036846.2022.2094333","article-title":"Financial infrastructure\u2014Total factor productivity (TFP) nexus within the purview of FDI outflow, trade openness, innovation, human capital and institutional quality: Evidence from BRICS economies","volume":"55","author":"Rehman","year":"2023","journal-title":"Appl. Econ."},{"key":"ref_55","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1016\/j.iref.2015.02.010","article-title":"Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR","volume":"40","author":"Drakos","year":"2015","journal-title":"Int. Rev. Econ. Financ."},{"key":"ref_56","doi-asserted-by":"crossref","first-page":"S25","DOI":"10.1016\/j.jbankfin.2015.06.022","article-title":"Bank size, capital, and systemic risk: Some international evidence","volume":"69","author":"Laeven","year":"2016","journal-title":"J. Bank. Financ."},{"key":"ref_57","doi-asserted-by":"crossref","first-page":"817","DOI":"10.1080\/13504851.2021.1890684","article-title":"Revisiting the effects of banks\u2019 size on systemic risk: The role of banking sector concentration in the European Banking Union","volume":"29","author":"Kamani","year":"2022","journal-title":"Appl. Econ. Lett."},{"key":"ref_58","doi-asserted-by":"crossref","first-page":"713","DOI":"10.1111\/ecca.12327","article-title":"Input-Output Linkages and Sectoral Volatility","volume":"87","author":"Olabisi","year":"2020","journal-title":"Economica"},{"key":"ref_59","doi-asserted-by":"crossref","first-page":"122936","DOI":"10.1016\/j.physa.2019.122936","article-title":"Interindustry volatility spillover effects in China\u2019s stock market","volume":"539","author":"Yin","year":"2020","journal-title":"Phys. A"},{"key":"ref_60","doi-asserted-by":"crossref","first-page":"100718","DOI":"10.1016\/j.ecosys.2019.100718","article-title":"Connectedness and risk spillovers in China\u2019s stock market: A sectoral analysis","volume":"43","author":"Wu","year":"2019","journal-title":"Econ. Syst."},{"key":"ref_61","doi-asserted-by":"crossref","unstructured":"Louhichi, W., Saghi, N., Srour, Z., and Viviani, J.L. (2022). The effect of liquidity creation on systemic risk: Evidence from European banking sector. Ann. Oper. Res., in press.","DOI":"10.1007\/s10479-022-04836-8"},{"key":"ref_62","doi-asserted-by":"crossref","first-page":"101248","DOI":"10.1016\/j.najef.2020.101248","article-title":"Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network","volume":"54","author":"Zhang","year":"2020","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_63","doi-asserted-by":"crossref","unstructured":"Rehman, F., and Sohag, K. (2023). Does transport infrastructure spur export diversification and sophistication in the G-20 economies? An application of CS-ARDL. Appl. Econ. Lett., in press.","DOI":"10.1080\/13504851.2022.2083554"},{"key":"ref_64","unstructured":"(2023, January 30). International Labor Organization. Available online: https:\/\/www.ilo.org\/global\/topics\/coronavirus\/impacts-and-responses\/WCMS_824092."},{"key":"ref_65","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1111\/emre.12494","article-title":"Locus of control as a moderator of the effects of COVID-19 perceptions on job insecurity, psychosocial, organisational, and job outcomes for MENA region hospitality employees","volume":"19","author":"Mahmoud","year":"2022","journal-title":"Eur. Manag. Rev."},{"key":"ref_66","doi-asserted-by":"crossref","unstructured":"Deng, H., Wu, W.B., Zhang, Y.H., Zhang, X.Y., and Ni, J. (2022). The Paradoxical Effects of COVID-19 Event Strength on Employee Turnover Intention. Int. J. Environ. Res. Public Health, 19.","DOI":"10.3390\/ijerph19148434"},{"key":"ref_67","doi-asserted-by":"crossref","first-page":"22","DOI":"10.1186\/s40854-021-00240-6","article-title":"The impact of the COVID-19 outbreak on Chinese-listed tourism stocks","volume":"7","author":"Wu","year":"2021","journal-title":"Financ. Innov."},{"key":"ref_68","doi-asserted-by":"crossref","first-page":"5859","DOI":"10.1080\/00036846.2020.1776837","article-title":"Short term response of Chinese stock markets to the outbreak of COVID-19","volume":"52","author":"Liu","year":"2020","journal-title":"Appl. Econ."},{"key":"ref_69","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1016\/j.physa.2017.12.091","article-title":"Network features of sector indexes spillover effects in China: A multi-scale view","volume":"496","author":"Feng","year":"2018","journal-title":"Phys. A"},{"key":"ref_70","doi-asserted-by":"crossref","first-page":"991","DOI":"10.1002\/ijfe.1702","article-title":"The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives","volume":"24","author":"Hoque","year":"2019","journal-title":"Int. J. Financ. Econ."},{"key":"ref_71","doi-asserted-by":"crossref","first-page":"825","DOI":"10.1007\/s00181-021-02036-0","article-title":"Sector connectedness in the Chinese stock markets","volume":"62","author":"Shen","year":"2021","journal-title":"Empir. Econ."},{"key":"ref_72","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1093\/epolic\/eiaa016","article-title":"The US\u2013Chinese trade war: An event study of stock-market responses","volume":"35","author":"Egger","year":"2020","journal-title":"Econ. Policy"},{"key":"ref_73","doi-asserted-by":"crossref","unstructured":"Li, Y., Zhang, Z., and Niu, T. (2022). Two-Way Risk Spillover of Financial and Real Sectors in the Presence of Major Public Emergencies. Sustainability, 14.","DOI":"10.3390\/su141912571"},{"key":"ref_74","doi-asserted-by":"crossref","first-page":"258","DOI":"10.1016\/j.jbankfin.2016.11.017","article-title":"Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method","volume":"75","author":"Mensi","year":"2017","journal-title":"J. Bank. Financ."},{"key":"ref_75","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/j.eneco.2018.10.010","article-title":"Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach","volume":"76","author":"Ji","year":"2018","journal-title":"Energy Econ."},{"key":"ref_76","doi-asserted-by":"crossref","first-page":"101512","DOI":"10.1016\/j.najef.2021.101512","article-title":"Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis","volume":"58","author":"Luo","year":"2021","journal-title":"N. Am. J. Econ. Financ."}],"container-title":["Systems"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/2079-8954\/11\/3\/147\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,10]],"date-time":"2025-10-10T18:53:07Z","timestamp":1760122387000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/2079-8954\/11\/3\/147"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,3,12]]},"references-count":76,"journal-issue":{"issue":"3","published-online":{"date-parts":[[2023,3]]}},"alternative-id":["systems11030147"],"URL":"https:\/\/doi.org\/10.3390\/systems11030147","relation":{},"ISSN":["2079-8954"],"issn-type":[{"type":"electronic","value":"2079-8954"}],"subject":[],"published":{"date-parts":[[2023,3,12]]}}}