| 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 |