Research on the contribution of systemic risk by non-financial corporations: Evidence from A-share listed companies

The role of non-financial corporations in systemic financial risk is critical. Using A-share listed companies as the research sample, this paper measures firms’ MES and ΔCoVaR, constructs volatility spillover networks to map inter-industry risk transmission, and applies a REWB regression model to identify the drivers of systemic risk. We find that, non-financial companies are vulnerable to systemic shocks and can amplify risk propagation to a certain extent. During sample period, the mining and real estate industries exhibit greater vulnerability and risk contribution. The characteristics of risk spillover across industries vary across different periods. During stock market crashes, the wholesale and retail sector bore the greatest risk from other industries, while the public health and agriculture sectors became the dominant industries in the risk spillover network during the pandemic. Firm-level characteristics significantly affect the systemic risk exposure of non-financial firms, and their effects on firm vulnerability and risk contribution exhibit heterogeneity. Different market environments during the pandemic and stock market crash periods also led to differing risk drivers. These findings underscore the need for Policymakers to focus on the role of non-financial firms in risk formation and provide early warnings for inter-industry risk contagion to effectively prevent systemic risks.