Panel A: Data description
Variable Description
Syl_i CSI 300 industry i index return rate, represents the rate of return of institution i, i=bank, sec, ins, where bank represents banking, sec represents securities industry, ins represents insurance industry.
Vi, t The return rate of the i-th listed company in the industry at time t.
M1 CSI 300 Index Growth Rate, logarithmic growth rate.
M2 CSI 300 Index Volatility, reflects the fluctuation of the stock market, obtained using a GARCH(1,1) model.
M3 Changes in the yield to maturity of 3-month Treasury bonds, reflects changes in spreads.
M4 Term spread, Shanghai Clearing House's 1-year treasury bond yield to maturity minus the 3-month treasury bond yield, reflecting market liquidity.
M5 Credit spread, the one-year maturity certificate AAA corporate bond yield minus the one-year maturity treasury bond yield, reflecting the credit risk of the market.
Panel B: Descriptive statistics
Variable Mean SD Min Max
Syl_bank -0.0865 1.2648 -6.7125 2.6202
Syl_sec -0.0071 2.2064 10.5277 6.0372
Syl_ins -0.1411 1.6403 -7.6517 3.4802
CoVaR_bank 2.6131 0.8104 1.4681 7.4278
CoVaR_sec 2.5715 1.3187 0.0911 8.9346
CoVaR_ins 2.2747 0.8813 0.6130 6.9841
M1 1.4257 0.5505 0.9319 4.0852
M2 0.0068 1.5172 -8.2088 3.2368
M3 -0.2867 4.9129 18.5345 18.461
M4 0.2414 0.0850 0.0752 0.4241
M5 0.7130 0.1043 0.3903 0.9721