Purpose/SignificanceTaking the various departments of China's financial industry as the research object, this paper studies the financial risk contagion effect among various departments from the perspective of dynamic relevance.

Design/MethodologyFirstly, the generalized variance decomposition method is used to construct the static relevance degree matrix, and the direction and intensity of the correlation degree of each department are determined. Then, the dynamic correlation degree of each department in the financial market is measured by the rolling window prediction method, and the risk infection network of each department is described.

Findings/ConclusionThe study found that: 1. There is a significant correlation between our financial sectors; 2. The occurrence of extreme events can strengthen the linkage between China's financial sectors; 3. The risk contagion network between financial sectors is dynamically linked.