LU shiyu, ZENG yanqi, ZHANG wei, ZHAO yang
系统科学与复杂性(英文).
录用日期: 2025-03-18
The intra-industry risk spillover is crucial in transforming individual risk into systemic risk in both the financial and non-financial sectors. Using data from non-financial listed firms in China from 2007 to 2021, we explore the impact of rising economic policy uncertainty (EPU) on intra-industry risk spillovers, as well as the moderating effects of industry vulnerability and interconnectedness. Empirical results indicate that rising EPU enhances the intra-industry risk spillover effect in the non-financial sector. Industry vulnerability, including inadequate profitability, high leverage, low liquidity, or low financialization, can exacerbate intra-industry risk spillovers. Regarding the impact of interconnectedness, policy uncertainty shocks generate a more pronounced risk spillover effect in industries with low asset redeployability or weak competition. Our study highlights that, given the shock of rising EPU, intra-industry risk spillovers exist in China's non-financial sector, which are amplified through industry vulnerability and interconnectedness, necessitating close attention from investors.