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. 
V_{i, t}

The return rate of the ith 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 3month Treasury bonds, reflects changes in spreads. 
M4

Term spread, Shanghai Clearing House's 1year treasury bond yield to maturity minus the 3month treasury bond yield, reflecting market liquidity. 
M5

Credit spread, the oneyear maturity certificate AAA corporate bond yield minus the oneyear 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 