Using third-level industry data of CSI 300, we introduce the Lasso approach into the high-dimensional CARE to model the tail dependence network among the financial sector and real sectors and measure the industry systemic risk. We find that the realized systemic risks between industries are affected by individual risk exposures and marginal systemic risk contributions. Real estate's marginal systemic risk contribution is the highest in real sectors, and the financial sector's integrated finance industry shows vital marginal systemic risk contribution and network centrality. Auto parts, construction materials, metals and mining, construction engineering, electrical equipment, and means of transportation in real sectors strongly correlate with other industries. The capital markets industry has a tail dependence with 20 different industries.
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Univ Salvador, Post Grad Programme Management PPGA, Rua Dr Jose Peroba 251, BR-41770235 Salvador, BA, BrazilUniv Salvador, Post Grad Programme Management PPGA, Rua Dr Jose Peroba 251, BR-41770235 Salvador, BA, Brazil
Rivera-Castro, Miguel A.
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Ugolini, Andrea
Zambrano, Juan Arismendi
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Maynooth Univ, Natl Univ Ireland, Dept Econ Finance & Accounting, Maynooth W23 HW31, Kildare, Ireland
Univ Reading, Henley Business Sch, ICMA Ctr, Reading RG6 6BA, Berks, EnglandUniv Salvador, Post Grad Programme Management PPGA, Rua Dr Jose Peroba 251, BR-41770235 Salvador, BA, Brazil
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Liaoning Tech Univ, Sch Business & Adm, Huludao, Liaoning, Peoples R ChinaLiaoning Tech Univ, Sch Business & Adm, Huludao, Liaoning, Peoples R China
Jia, Kaiwei
Yin, Longhe
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Liaoning Tech Univ, Sch Business & Adm, Huludao, Liaoning, Peoples R ChinaLiaoning Tech Univ, Sch Business & Adm, Huludao, Liaoning, Peoples R China
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Univ Carlos III Madrid, Dept Business Adm, Madrid 28903, SpainUniv Carlos III Madrid, Dept Business Adm, Madrid 28903, Spain
Chiu, Wan-Chien
Ignacio Pena, Juan
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Univ Carlos III Madrid, Dept Business Adm, Madrid 28903, SpainUniv Carlos III Madrid, Dept Business Adm, Madrid 28903, Spain
Ignacio Pena, Juan
Wang, Chih-Wei
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Univ Carlos III Madrid, Dept Business Adm, Madrid 28903, Spain
Cent Univ Finance & Econ, Chinese Acad Finance & Dev, Beijing 100081, Peoples R ChinaUniv Carlos III Madrid, Dept Business Adm, Madrid 28903, Spain